Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts.

By:

McNeil, Alexander J, 1967-

Contributor(s):

Material type: Text

TextSeries: Princeton series in financePublication details: Princeton, N.J. : Princeton University Press, 2005.Description: xv, 538 p. : ill. ; 24 cmISBN:

0691122555 (cloth : alk. paper)
9780691122557 (cloth : alk. paper)

Subject(s):

DDC classification:

658.1550151 MCN/Qua 22

LOC classification:

HD61 .M395 2005

Other classification:

85.30

Online resources:

Contents:

Risk in perspective -- Basic concepts in risk management -- Multivariate models -- Financial time series -- Copulas and dependence -- Aggregate risk -- Extreme value theory -- Credit risk management -- Dynamic credit risk models -- Operational risk and insurance analytics -- Appendix: A.1. Miscellaneous definitions and results -- A.2. Probability distributions -- A.3. Likelihood inferences.

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Holdings
Item type	Current library	Call number	Status	Date due
Books	Goa University Library General Stacks	658.1550151 MCN/Qua (Browse shelf(Opens below))	Available

Includes bibliographical references (p. [503]-527) and index.

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