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

By: Contributor(s): Material type: TextTextSeries: 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 Barcode
Books Books Goa University Library General Stacks 658.1550151 MCN/Qua (Browse shelf(Opens below)) Available 140633

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

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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