McNeil, Frey & Embrechts - Quantitative Risk Management

McNeil, Frey & Embrechts - Quantitative Risk Management...

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Unformatted text preview: Quantitative Risk Management Quantitative Risk Management: Concepts, Techniques and Tools is a part of the Princeton Series in Finance Series Editors Darrell Duffie Stephen Schaefer Stanford University London Business School Finance as a discipline has been growing rapidly. The numbers of researchers in academy and industry, of students, of methods and models have all proliferated in the past decade or so. This growth and diversity manifests itself in the emerging cross-disciplinary as well as cross-national mix of scholarship now driving the field of finance forward. The intellectual roots of modern finance, as well as the branches, will be represented in the Princeton Series in Finance. Titles in this series will be scholarly and professional books, intended to be read by a mixed audience of economists, mathematicians, operations research scien-tists, financial engineers, and other investment professionals. The goal is to pro-vide the finest cross-disciplinary work in all areas of finance by widely recognized researchers in the prime of their creative careers. Other Books in This Series Financial Econometrics: Problems, Models, and Methods by Christian Gourieroux and Joann Jasiak Credit Risk: Pricing, Measurement, and Management by Darrell Duffie and Kenneth J. Singleton Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing by Yvan Lengwiler Credit Risk Modeling: Theory and Applications by David Lando Quantitative Risk Management Concepts, Techniques and Tools Alexander J. McNeil Rudiger Frey Paul Embrechts Princeton University Press Princeton and Oxford Copyright c 2005 by Princeton University Press Published by Princeton University Press, 41 William Street, Princeton, New Jersey 08540 In the United Kingdom: Princeton University Press, 3 Market Place, Woodstock, Oxfordshire OX20 1SY All rights reserved Library of Congress Cataloguing-in-Publication Data McNeil, Alexander J., 1967 Quantitative risk management : concepts, techniques, and tools /Alexander J. McNeil, Rudiger Frey, Paul Embrechts p.cm.(Princeton series in finance) Includes bibliographical references and index. ISBN 0-691-12255-5 (cloth : alk. paper) 1. Risk managementMathematical models. 2. FinanceMathematical models. 3. InsuranceMathematical models. 4. Mathematical statistics. I. Frey, Rudiger. II. Embrechts, Paul. III. Title. IV. Series. HD61.M395 2005 658.15 5 0151pcc22 2005049603 British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library This book has been composed in Times and typeset by T & T Productions Ltd, London Printed on acid-free paper www.pup.princeton.edu Printed in the United States of America 10 9 8 7 6 5 4 3 2 1 To Janine, Alexander and Calliope Alexander Fur Catharina und Sebastian Rudiger Voor Gerda, Rita en Guy Paul Contents Preface xiii 1 Risk in Perspective 1 1.1 Risk 1 1.1.1 Risk and Randomness 1 1.1.2 Financial Risk 2 1.1.3 1....
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This note was uploaded on 03/14/2012 for the course IEOR 4602 taught by Professor Martin during the Spring '12 term at Columbia.

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McNeil, Frey & Embrechts - Quantitative Risk Management...

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