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Item specifics
- Condition
- Book Title
- Quantitative Risk Management – Concepts, Techniques, and Tools...
- ISBN
- 0691122555
- EAN
- 9780691122557
- Release Title
- Quantitative Risk Management – Concepts, Techniques, and Tools...
- Artist
- Embrechts, Paul
- Brand
- N/A
- Colour
- N/A
About this product
Product Identifiers
Publisher
Princeton University Press
ISBN-10
0691122555
ISBN-13
9780691122557
eBay Product ID (ePID)
46919262
Product Key Features
Number of Pages
544 Pages
Language
English
Publication Name
Quantitative Risk Management : concepts, Techniques, and Tools
Subject
Finance / General, Decision-Making & Problem Solving, Probability & Statistics / General, Insurance / General
Publication Year
2005
Type
Textbook
Subject Area
Mathematics, Business & Economics
Series
Princeton Series in Finance Ser.
Format
Hardcover
Dimensions
Item Height
1.4 in
Item Weight
32.1 Oz
Item Length
9.5 in
Item Width
6.3 in
Additional Product Features
Intended Audience
College Audience
LCCN
2005-049603
Dewey Edition
23
Reviews
" Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field." ---Holger Drees, Risk, This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs. -- D.L. McLeish, Short Book Reviews of the International Statistical Institute, " Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field."-- Holger Drees, Risk, " Quantitative Risk Management is highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors." --Hans Blommestein, The Financial Regulator, Quantitative Risk Management is highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors. -- Hans Blommestein, The Financial Regulator, "Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance." ---Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review, "A great summary of the latest techniques available within quantitative risk measurement. . . . [I]t is an excellent text to have on the shelf as a reference when your day job covers the whole spectrum of quantitative techniques in risk management."-- Financial Engineering News, This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily. -- Hans Bühlmann, SIAM Review, Quantitative Risk Management is highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors., "This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs." --D.L. McLeish, Short Book Reviews of the International Statistical Institute, Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field. -- Holger Drees, Risk, "This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs." ---D.L. McLeish, Short Book Reviews of the International Statistical Institute, "Quantitative Risk Managment" can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field., This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs., "Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance." --Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review, "This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily."-- Hans Bhlmann, SIAM Review, This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily. -- Hans Bhlmann, SIAM Review, "This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily." --Hans Bühlmann, SIAM Review, Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics thatQuantitative Risk Management: Concepts, Techniques, and Toolsoffers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance. -- Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review, A great summary of the latest techniques available within quantitative risk measurement. . . . [I]t is an excellent text to have on the shelf as a reference when your day job covers the whole spectrum of quantitative techniques in risk management. -- Financial Engineering News, Quantitative Risk Managmentcan be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field. -- Holger Drees, Risk, " Quantitative Risk Management is highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors." ---Hans Blommestein, The Financial Regulator, "This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs."-- D.L. McLeish, Short Book Reviews of the International Statistical Institute, "Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance."-- Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review, " Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field." --Holger Drees, Risk, " Quantitative Risk Management is highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors."-- Hans Blommestein, The Financial Regulator, "This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily."-- Hans Bühlmann, SIAM Review, This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily., A great summary of the latest techniques available within quantitative risk measurement. . . . [I]t is an excellent text to have on the shelf as a reference when your day job covers the whole spectrum of quantitative techniques in risk management., Quantitative Risk Managementis highly recommended for financial regulators. The statistical and mathematical tools facilitate a better understanding of the strengths and weaknesses of a useful range of advanced risk-management concepts and models, while the focus on aggregate risk enhances the publication's value to banking and insurance supervisors. -- Hans Blommestein, The Financial Regulator, Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance., Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that "Quantitative Risk Management: Concepts, Techniques, and Tools" offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance., "A great summary of the latest techniques available within quantitative risk measurement. . . . [I]t is an excellent text to have on the shelf as a reference when your day job covers the whole spectrum of quantitative techniques in risk management." -- Financial Engineering News, "This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily." ---Hans Bühlmann, SIAM Review, Quantitative Risk Managment can be highly recommended to anyone looking for an excellent survey of the most important techniques and tools used in this rapidly growing field., Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance. -- Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review, This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily. -- Hans Buhlmann, SIAM Review
Illustrated
Yes
Dewey Decimal
658.1/55/0151
Table Of Content
Preface xiii CHAPTER 1: Risk in Perspective 1 1.1 Risk 1 1.1.1 Risk and Randomness 1 1.1.2 Financial Risk 2 1.1.3 Measurement and Management 3 1.2 A Brief History of Risk Management 5 1.2.1 From Babylon to Wall Street 5 1.2.2 The Road to Regulation 8 1.3 The New Regulatory Framework 10 1.3.1 Basel II 10 1.3.2 Solvency 2 13 1.4 Why Manage Financial Risk? 15 1.4.1 A Societal View 15 1.4.2 The Shareholder's View 16 1.4.3 Economic Capital 18 1.5 Quantitative Risk Management 19 1.5.1 The Nature of the Challenge 19 1.5.2 QRM for the Future 22 CHAPTER 2: Basic Concepts in Risk Management 25 2.1 Risk Factors and Loss Distributions 25 2.1.1 General Definitions 25 2.1.2 Conditional and Unconditional Loss Distribution 28 2.1.3 Mapping of Risks:Some Examples 29 2.2 Risk Measurement 34 2.2.1 Approaches to Risk Measurement 34 2.2.2 Value-at-Risk 37 2.2.3 Further Comments on VaR 40 2.2.4 Other Risk Measures Based on Loss Distributions 43 2.3 Standard Methods for Market Risks 48 2.3.1 Variance -Covariance Method 48 2.3.2 Historical Simulation 50 2.3.3 Monte Carlo 52 2.3.4 Losses over Several Periods and Scaling 53 2.3.5 Backtesting 55 2.3.6 An Illustrative Example 55 CHAPTER 3: Multivariate Models 61 3.1 Basics of Multivariate Modelling 61 3.1.1 Random Vectors and Their Distributions 62 3.1.2 Standard Estimators of Covariance and Correlation 64 3.1.3 The Multivariate Normal Distribution 66 3.1.4 Testing Normality and Multivariate Normality 68 3.2 Normal Mixture Distributions 73 3.2.1 Normal Variance Mixtures 73 3.2.2 Normal Mean-Variance Mixtures 77 3.2.3 Generalized Hyperbolic Distributions 78 3.2.4 Fitting Generalized Hyperbolic Distributions to Data 81 3.2.5 Empirical Examples 84 3.3 Spherical and Elliptical Distributions 89 3.3.1 Spherical Distributions 89 3.3.2 Elliptical Distributions 93 3.3.3 Properties of Elliptical Distributions 95 3.3.4 Estimating Dispersion and Correlation 96 3.3.5 Testing for Elliptical Symmetry 99 3.4 Dimension Reduction Techniques 103 3.4.1 Factor Models 103 3.4.2 Statistical Calibration Strategies 105 3.4.3 Regression Analysis of Factor Models 106 3.4.4 Principal Component Analysis 109 CHAPTER 4: Financial Time Series 116 4.1 Empirical Analyses of Financial Time Series 117 4.1.1 Stylized Facts 117 4.1.2 Multivariate Stylized Facts 123 4.2 Fundamentals of Time Series Analysis 125 4.2.1 Basic Definitions 125 4.2.2 ARMA Processes 128 4.2.3 Analysis in the Time Domain 132 4.2.4 Statistical Analysis of Time Series 134 4.2.5 Prediction 136 4.3 GARCH Models for Changing Volatility 139 4.3.1 ARCH Processes 139 4.3.2 GARCH Processes 145 4.3.3 Simple Extensions of the GARCH Model 148 4.3.4 Fitting GARCH Models to Data 150 4.4 Volatility Models and Risk Estimation 158 4.4.1 Volatility Forecasting 158 4.4.2 Conditional Risk Measurement 160 4.4.3 Backtesting 162 4.5 Fundamentals of Multivariate Time Series 164 4.5.1 Basic Definitions 164 4.5.2 Analysis in the Time Domain 166 4.5.3 Multivariate ARMA Processes 168 4.6 Multivariate GARCH Processes 170 4.6.1 General Structure of Models 170 4.6.2 Models for Conditional Correlation 172 4.6.3 Models for Conditional Covariance 175 4.6.4 Fitting Multivariate GARCH Models 178 4.6.5 Dimension Reduction in MGARCH 179 4.6.6 MGARCH and Conditional Risk Measurement 182 CHAPTER 5: Copulas and Dependence 184 5.1 Copulas 184 5.1.1 Basic Properties 185 5.1.2 Examples of Copulas 189 5.1.3 Meta Distributions 192 5.1.4 Simulation of Copulas and Meta Distributions 193 5.1.5 Further Properties of Copulas 195 5.1.6 Perfect Dependence 199 5.2 Dependence Measures 201 5.2.1 Linear Correlation 201 5.2.2 Rank Correlation 206 5.2.3 Coefficients of Tail Dependence 208 5.
Synopsis
Provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers with practical tools to solve real-world problems. This work covers methods for market, credit, and operational risk modelling; and places standard industry approaches on a more formal footing., 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. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field., 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. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers.The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.
LC Classification Number
HD61.M395 2005
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- eBay automated feedback- Feedback left by buyer.Past monthOrder delivered on time with no issues
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- d***0 (437)- Feedback left by buyer.Past monthVerified purchaseItem bought: Ocean Ramsey Shark book * Item value for the money 5/5 * Condition matching as advertised 5/5 * Quickly dispatched 5/5 * Arrived on time 5/5 * Shipping cost for this type of item 5/5 * Packaging quality for this item 5/5 * Seller recommendation 5/5 * Communication: NA (not needed as it arrived on time) * Comments: Ty for your business!!
- r***1 (179)- Feedback left by buyer.Past 6 monthsVerified purchaseThe book was exactly as described and arrived quickly. The only problem is a recurring one with this seller and other similar sellers - the book is poorly packaged in a plastic envelope and gets heavily bumped in shipping. I would like to see the books wrapped before shipment, but I understand this can't be done for cost reason. Luckily it isn't an expensive book, and I will continue to purchase basic books from this seller. A+++++
- 4***1 (1640)- Feedback left by buyer.Past monthVerified purchaseBook arrived quickly and is pretty close to "Very Good" description. Value priced and I'm glad I made the purchase as this is an excellent read. However, the book was mailed loose inside an over-sized plastic bag without any protection. Wrapped in a bubble wrap jacket would be a big help. A book can take a beating in USPS transit without some buffer. I can't tell if the bumps and dings were original or occurred in transit. I'd prefer to pay for shipping than have it sent with no protection.
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- eBay automated feedback- Feedback left by buyer.Past monthOrder delivered on time with no issues
- eBay automated feedback- Feedback left by buyer.Past monthOrder delivered on time with no issues
- d***0 (437)- Feedback left by buyer.Past monthVerified purchaseItem bought: Ocean Ramsey Shark book * Item value for the money 5/5 * Condition matching as advertised 5/5 * Quickly dispatched 5/5 * Arrived on time 5/5 * Shipping cost for this type of item 5/5 * Packaging quality for this item 5/5 * Seller recommendation 5/5 * Communication: NA (not needed as it arrived on time) * Comments: Ty for your business!!
- r***1 (179)- Feedback left by buyer.Past 6 monthsVerified purchaseThe book was exactly as described and arrived quickly. The only problem is a recurring one with this seller and other similar sellers - the book is poorly packaged in a plastic envelope and gets heavily bumped in shipping. I would like to see the books wrapped before shipment, but I understand this can't be done for cost reason. Luckily it isn't an expensive book, and I will continue to purchase basic books from this seller. A+++++
- 4***1 (1640)- Feedback left by buyer.Past monthVerified purchaseBook arrived quickly and is pretty close to "Very Good" description. Value priced and I'm glad I made the purchase as this is an excellent read. However, the book was mailed loose inside an over-sized plastic bag without any protection. Wrapped in a bubble wrap jacket would be a big help. A book can take a beating in USPS transit without some buffer. I can't tell if the bumps and dings were original or occurred in transit. I'd prefer to pay for shipping than have it sent with no protection.