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