Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.

By:

McNeil, Alexander J, 1967-

Contributor(s):

Series: Princeton series in financePublication details: Princeton, N.J. : Princeton University Press, c2005.Description: xv, 538 p. : ill. ; 25 cmISBN:

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

Subject(s):

DDC classification:

658.15/5/0151 22

LOC classification:

HD61.M395 2005

Other classification:

85.30

Online resources:

Contents:

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.

Reviews from LibraryThing.com:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Collection	Call number	Status	Notes	Barcode
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available		94787
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available		94786
BOOK	Strathmore University (Main Library) Open Shelf	Open Shelf	HD61.M395 2005	Available		94785
BOOK	Strathmore University (Main Library) Open Shelf	Open Shelf	HD61.M395 2005	Available		94784
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available		94783
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available		44376
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available	FOH COPY	35812
BOOK	General Collection Open Shelf	Open Shelf	HD61.M395 2005	Available	FOH COPY	35811