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内容説明
The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers - whether financial risk analysts, actuaries, regulators, or students of quantitative finance - with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.
著者について
Alexander J. McNeil is Professor of Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich. Rudiger Frey is Professor of Financial Mathematics at the University of Leipzig. Paul Embrechts, Professor of Insurance Mathematics at the Swiss Federal Institute of Technology (ETH) in Zurich, is the coauthor of "Modelling Extremal Events for Insurance and Finance".
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Amazon.com で最も参考になったカスタマーレビュー (beta)
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9件のカスタマーレビュー
16 人中、16人の方が、｢このレビューが参考になった｣と投票しています。
Software implementation available for S-Plus and R
2007/7/25
形式:ハードカバー
Although not obvious, there is software available to implement the functionality described mathematically in the book. Alexander McNeil provides S-Plus code on his personal website, and there is an R port of that code on CRAN called QRMlib. Most of the provided software is on fitting fat-tailed distributions. This is all very useful in practice, if you care to be statistically precise. Unfortunately, many practitioners would clearly prefer rules of thumb to quantitative methods only usable with statistical software that doesn't run in Excel. Excellent theoretical text with solid backing software.
79 人中、65人の方が、｢このレビューが参考になった｣と投票しています。
QUANTITATIVE risk management
2006/1/20
形式:ハードカバー
If you want to read a book on risk management, this may be not the book to read. This book is interesting as an applied math book for say some application in risk management but not as a risk management book. The main application of this book is credit risk. What does the reader learn ? Nothing about how to compute the spread of a CDO's tranche, nothing about how to manage correlation risk, nothing about how to manage spread risk, nothing about the real value of the calibrated intensity and nothing about the real value of the spreads. Needless to say, you will learn nothing about the new indices such as i-traxx for calibration. As a risk management book, it is a rather poor book. However, you will learn many things on time series, stochastic intensity models, copula and so on. In fact, the right title is "Mathematical and Statistical methods for risk management in view". Bearing in mind that this is an applied math book, it is well written and contains a lot of material that can be interesting. As a consequence, this book is rated with 1 star as a risk management book but with 4 stars as an applied math book.
5 人中、5人の方が、｢このレビューが参考になった｣と投票しています。
Power tools
2007/10/23
形式:ハードカバー|Amazonが確認した購入
I'd add the word power in front of tools in the book title! Yes the book doesn't give you any step-by-step how to of doing any of the things like some have complained. Then again, it's not meant to be a how-to book. This is a "why" book and the authors explain the whys brilliantly. Even the chapters covering statistical background materials, the authors chose the exact level of details for coverage without wasting any pages. To appreciate the book, the reader does need a strong math background. Then every page of the book is worth it.
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