Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)

4.3 out of 5 stars 37 ratings
ISBN-13: 978-0691122557
ISBN-10: 0691122555
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Editorial Reviews

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 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

"McNeil, Frey, and Embrechts present a wide-ranging yet remarkably clear and coherent introduction to the modelling of financial risk. Unlike most finance texts, where the focus is on pricing individual instruments, the primary focus in this book is the statistical behavior of portfolios of risky instruments, which is, after all, the primary concern of risk management. This ought to be a core text in every risk manager's training, and a useful reference for experienced professionals."―Michael Gordy

"This book is a compendium of the statistical arrows that should be in any quantitative risk manager's quiver. It includes extensive discussion of dynamic volatility models, extreme value theory, copulas, and credit risk. Academics, Ph.D. students, and quantitative practitioners will find many new and useful results in this important volume."―Robert F. Engle III, 2003 Nobel Laureate in Economic Sciences, Michael Armellino Professor in the Management of Financial Services at New York University's Stern School of Business

"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 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 book provides a framework and a useful toolkit for analysis a wide variety of risk management problems. Common pitfalls are pointed out, and mathematical sophistication is used in pursuit of useful and usable solutions. Every financial institution has a risk management department that looks at aggregated portfolio-wide risks on longer time scales, and at risk exposure to large, or extreme, market movements. Risk managers are always on the lookout for good techniques to help them do their jobs. This very good book provides these techniques and addresses an important, and under-developed, area of practical research."―Martin Baxter, Nomura International

"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

"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

"One of the Top 10 Technical Books on Financial Engineering by Financial Engineering News for 2006"

From the Inside Flap

"This book is a compendium of the statistical arrows that should be in any quantitative risk manager's quiver. It includes extensive discussion of dynamic volatility models, extreme value theory, copulas, and credit risk. Academics, Ph.D. students, and quantitative practitioners will find many new and useful results in this important volume."--Robert F. Engle III, 2003 Nobel Laureate in Economic Sciences, Michael Armellino Professor in the Management of Financial Services at New York University's Stern School of Business

"This book provides a framework and a useful toolkit for analysis a wide variety of risk management problems. Common pitfalls are pointed out, and mathematical sophistication is used in pursuit of useful and usable solutions. Every financial institution has a risk management department that looks at aggregated portfolio-wide risks on longer time scales, and at risk exposure to large, or extreme, market movements. Risk managers are always on the lookout for good techniques to help them do their jobs. This very good book provides these techniques and addresses an important, and under-developed, area of practical research."--Martin Baxter, Nomura International

"McNeil, Frey, and Embrechts present a wide-ranging yet remarkably clear and coherent introduction to the modelling of financial risk. Unlike most finance texts, where the focus is on pricing individual instruments, the primary focus in this book is the statistical behavior of portfolios of risky instruments, which is, after all, the primary concern of risk management. This ought to be a core text in every risk manager's training, and a useful reference for experienced professionals."--Michael Gordy

"There is no book that provides the type of rigorous and detailed coverage of risk management topics that this book does. This could become the book on quantitative risk management."--Riccardo Rebonato, Royal Bank of Scotland, author ofModern Pricing of Interest-Rate Derivatives


Product details

  • Item Weight : 2 pounds
  • Hardcover : 538 pages
  • ISBN-10 : 0691122555
  • ISBN-13 : 978-0691122557
  • Publisher : Princeton University Press (October 16, 2005)
  • Product Dimensions : 6.25 x 1.25 x 9.25 inches
  • Language: : English
  • Customer Reviews:
    4.3 out of 5 stars 37 ratings