Rating: 4 out of 5 stars
4/5
Ebook535 pages19 hours
Quantitative Risk Management: Concepts, Techniques and Tools - Revised Edition
Rating: 4.5 out of 5 stars
4.5/5
()
About this ebook
This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems.
Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.
- Fully revised and expanded to reflect developments in the field since the financial crisis
- Features shorter chapters to facilitate teaching and learning
- Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing
- Includes a new chapter on market risk and new material on risk measures and risk aggregation
Related to Quantitative Risk Management
Titles in the series (6)
Financial Econometrics: Problems, Models, and Methods Dynamic Asset Pricing Theory: Third Edition Rating: 0 out of 5 stars0 ratingsCredit Risk: Pricing, Measurement, and Management Rating: 1 out of 5 stars1/5Credit Risk Modeling: Theory and Applications Rating: 0 out of 5 stars0 ratingsQuantitative Risk Management: Concepts, Techniques and Tools - Revised Edition Rating: 5 out of 5 stars5/5
Related ebooks
Operations Risk: Managing a Key Component of Operational Risk Rating: 4 out of 5 stars4/5Risk Management Technology in Financial Services: Risk Control, Stress Testing, Models, and IT Systems and Structures Rating: 0 out of 5 stars0 ratingsContinuous-Time Models in Corporate Finance, Banking, and Insurance: A User's Guide Rating: 0 out of 5 stars0 ratingsAdvanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications Rating: 0 out of 5 stars0 ratingsCredit Risk: From Transaction to Portfolio Management Rating: 0 out of 5 stars0 ratingsThe Handbook of News Analytics in Finance Rating: 5 out of 5 stars5/5Handbook of the Economics of Risk and Uncertainty Rating: 0 out of 5 stars0 ratingsPortfolio Risk Analysis Rating: 4 out of 5 stars4/5An Introduction to the Mathematics of Financial Derivatives Rating: 5 out of 5 stars5/5Advances in Portfolio Construction and Implementation Rating: 3 out of 5 stars3/5Linear Factor Models in Finance Rating: 4 out of 5 stars4/5Derivative Instruments: A Guide to Theory and Practice Rating: 5 out of 5 stars5/5Stress Testing for Risk Control Under Basel II Rating: 0 out of 5 stars0 ratingsAlternative Risk Transfer: Integrated Risk Management through Insurance, Reinsurance, and the Capital Markets Rating: 0 out of 5 stars0 ratingsOperational Risk Control with Basel II: Basic Principles and Capital Requirements Rating: 0 out of 5 stars0 ratingsAnalyzing Banking Risk (Fourth Edition): A Framework for Assessing Corporate Governance and Risk Management Rating: 5 out of 5 stars5/5Applied Quantitative Methods for Trading and Investment Rating: 4 out of 5 stars4/5Risk Quantification: Management, Diagnosis and Hedging Rating: 0 out of 5 stars0 ratingsMacrofinancial Risk Analysis Rating: 0 out of 5 stars0 ratingsAnticipating Correlations: A New Paradigm for Risk Management Rating: 0 out of 5 stars0 ratingsMulti-Asset Risk Modeling: Techniques for a Global Economy in an Electronic and Algorithmic Trading Era Rating: 5 out of 5 stars5/5Value at Risk and Bank Capital Management: Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making Rating: 0 out of 5 stars0 ratingsEssential Mathematics for Market Risk Management Rating: 5 out of 5 stars5/5Operational Risk Modeling in Financial Services: The Exposure, Occurrence, Impact Method Rating: 0 out of 5 stars0 ratingsEconomic Capital: How It Works, and What Every Manager Needs to Know Rating: 0 out of 5 stars0 ratingsThe Essentials of Risk Management, Second Edition Rating: 2 out of 5 stars2/5Mastering R for Quantitative Finance Rating: 4 out of 5 stars4/5Finance: A Quantitative Introduction Rating: 5 out of 5 stars5/5Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing Rating: 0 out of 5 stars0 ratings
Mathematics For You
Mental Math Secrets - How To Be a Human Calculator Rating: 5 out of 5 stars5/5The Everything Guide to Algebra: A Step-by-Step Guide to the Basics of Algebra - in Plain English! Rating: 4 out of 5 stars4/5Basic Math & Pre-Algebra For Dummies Rating: 4 out of 5 stars4/5Algebra - The Very Basics Rating: 5 out of 5 stars5/5Geometry For Dummies Rating: 5 out of 5 stars5/5A Mind for Numbers | Summary Rating: 4 out of 5 stars4/5Game Theory: A Simple Introduction Rating: 4 out of 5 stars4/5Must Know High School Geometry Rating: 0 out of 5 stars0 ratingsMy Best Mathematical and Logic Puzzles Rating: 5 out of 5 stars5/5Calculus For Dummies Rating: 4 out of 5 stars4/5The Golden Ratio: The Divine Beauty of Mathematics Rating: 5 out of 5 stars5/5Algebra I Workbook For Dummies Rating: 3 out of 5 stars3/5The Elements of Euclid for the Use of Schools and Colleges (Illustrated) Rating: 0 out of 5 stars0 ratingsPainless Pre-Algebra Rating: 3 out of 5 stars3/5Quantum Physics for Beginners Rating: 4 out of 5 stars4/5The Little Book of Mathematical Principles, Theories & Things Rating: 3 out of 5 stars3/5Painless Geometry Rating: 4 out of 5 stars4/5The Everything Everyday Math Book: From Tipping to Taxes, All the Real-World, Everyday Math Skills You Need Rating: 5 out of 5 stars5/5The Math Book: From Pythagoras to the 57th Dimension, 250 Milestones in the History of Mathematics Rating: 3 out of 5 stars3/5Introducing Game Theory: A Graphic Guide Rating: 4 out of 5 stars4/5ACT Math & Science Prep: Includes 500+ Practice Questions Rating: 3 out of 5 stars3/5The Thirteen Books of the Elements, Vol. 1 Rating: 0 out of 5 stars0 ratingsRelativity: The special and the general theory Rating: 5 out of 5 stars5/5The Math of Life and Death: 7 Mathematical Principles That Shape Our Lives Rating: 4 out of 5 stars4/5Calculus Made Easy Rating: 4 out of 5 stars4/5Limitless Mind: Learn, Lead, and Live Without Barriers Rating: 4 out of 5 stars4/5Alan Turing: The Enigma: The Book That Inspired the Film The Imitation Game - Updated Edition Rating: 4 out of 5 stars4/5
Related podcast episodes
Michael Krause - Evolving Long/Short Equity (S3E2) 0% found this document usefulDevSecOps and securing the container. [CyberWire-X] 0% found this document useful“How bad would human extinction be?” by arvomm 0% found this document usefulCOVID-19: CECL, Stress Testing and Overall Credit Risk Impact: COVID 19 Subseries 0% found this document useful“Shift Left”: A case for threat-informed pentesting. [CyberWire-X] 0% found this document useful2023 Year-end toolkit: Navigating materiality assessments 0% found this document usefulSoftware supply chain management: Lessons learned from SolarWinds. [CyberWire-X] 0% found this document usefulEp. #103 - Reimagining Financial Supervision 0% found this document usefulSI154: Defining 'Outliers' from a Trend Follower's Perspective ft. Richard Brennan 0% found this document usefulThe future of security validation – what next? [CyberWire-X] 0% found this document usefulForecast 2021: The rise in central bank digital currencies 0% found this document useful
Related articles
Analysing For Unintended Risk Finweek - EnglishArticle
Analysing For Unintended Risk
May 28, 2021
risk has always been a primary consideration for fund managers and their clients. However, what each party has in mind when thinking about risk and how to manage it can be quite divergent. Clear and thorough communication around risk is therefore an
3 min readA Framework For Risk Governance The European Business ReviewArticle
A Framework For Risk Governance
Oct 2, 2023
11 min readDitching Two Old Assumptions That Could Benefit Investors Finweek - EnglishArticle
Ditching Two Old Assumptions That Could Benefit Investors
May 28, 2021
in his book The Most Important Thing – Uncommon Sense for the Thoughtful Investor, Howard Marks argues that investing is all about making decisions today about the future. Unfortunately, nobody has perfect foresight of the future. Therefore, the inve
2 min readDiscovery Launches South Africa's First Global Discretionary Fund Manager Forbes AfricaArticle
Discovery Launches South Africa's First Global Discretionary Fund Manager
Sep 30, 2022
Discovery Group has launched Cogence, a discretionary fund manager (DFM) seeking to significantly enhance the business of wealth creation in South Africa. Cogence will bring asset allocation views from BlackRock, one of the world's leading asset mana
2 min readApproaching Risk from The Boardroom The European Business ReviewArticle
Approaching Risk from The Boardroom
Dec 2, 2022
Looking into risk from the perspective of the boardroom demands a note on the concept of corporate governance itself and the resulting implications. Shareholders are the principals and need to have their rights protected; management is nominated and
7 min readDigital Strategies For Proactive Supplier Risk Management The European Business ReviewArticle
Digital Strategies For Proactive Supplier Risk Management
Oct 2, 2023
4 min readJust When You Think You Understand Risk … Finweek - EnglishArticle
Just When You Think You Understand Risk …
May 28, 2021
this week I was asked to teach a workshop on “risk” to a group of graduate students in portfolio management. I was probably right to be concerned. I was about to walk into their classroom and blow apart everything that their highly-rated textbook (an
3 min readHow Leaders Can Overcome Their Biases To Succeed In The Post-crisis World The European Business ReviewArticle
How Leaders Can Overcome Their Biases To Succeed In The Post-crisis World
May 31, 2020
5 min read
Reviews for Quantitative Risk Management
Rating: 4.666666666666667 out of 5 stars
4.5/5
3 ratings0 reviews
Book preview
Quantitative Risk Management - Alexander J. McNeil
Enjoying the preview?
Page 1 of 1