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McNeil, Alexander J., 1967-

Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts. - Princeton, N.J. : Princeton University Press, 2005. - xv, 538 p. : ill. ; 24 cm. - Princeton series in finance .

Includes bibliographical references (p. [503]-527) and index.

Risk in perspective -- Basic concepts in risk management -- Multivariate models -- Financial time series -- Copulas and dependence -- Aggregate risk -- Extreme value theory -- Credit risk management -- Dynamic credit risk models -- Operational risk and insurance analytics -- Appendix: A.1. Miscellaneous definitions and results -- A.2. Probability distributions -- A.3. Likelihood inferences.

ISBN: 0691122555 (cloth : alk. paper) 9780691122557 (cloth : alk. paper)

LCCN: 2005049603

Nat. Bib. No.: GBA573551 bnb

Nat. Bib. Agency Control No.: 013283229 Uk

Subjects--Topical Terms:
Risk management--Mathematical models.
Finance--Mathematical models.
Insurance--Mathematical models.
Mathematical statistics.

LC Class. No.: HD61 / .M395 2005

Dewey Class. No.: 658.1550151 MCN/Qua