| Titre : |
Quantitative risk management : concepts, techniques and tools |
| Type de document : |
Livre |
| Auteurs : |
Alexander J. MCNEIL, Auteur ; Rüdiger FREY, Auteur ; Paul EMBRECHTS, Auteur |
| Editeur : |
Princeton University Press |
| Année de publication : |
2005 |
| Importance : |
XV-538 p. |
| ISBN/ISSN/EAN : |
978-0-691-12255-7 |
| Note générale : |
Bibliogr. p.503-527. Index |
| Langues : |
Anglais (eng) |
| Mots-clés : |
Management
MATHEMATIQUES FINANCIERES ; MANAGEMENT DU RISQUE ; RISQUE
|
| Résumé : |
The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. |
| Permalink : |
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