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A comprehensive and rigorous treatment of quantitative methods for modeling and managing financial risk. The book covers market, credit, and operational risk; risk measures and loss distributions; dependence modelling (copulas, extreme-value theory); risk aggregation and allocation; and applications including credit derivatives, portfolio risk, and regulatory frameworks such as Basel II.

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245: $a: Quantitative Risk Management
245: $b:
082: $a:
100: $a: Alexander J. McNeil & Rüdiger Frey & Paul Embrechts
650: $a: Risk Management
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440: $v:
250: $b: Princeton University Press
250: $c: 2005
020: $a: 978-0691122557
300: $a: 538