Quantitative Risk Management: Concepts, Techniques and Tools (Hardcover)

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



 
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本書提供了最全面的定量風險管理理論概念和建模技術的介紹。無論您是金融風險分析師、精算師、監管機構或定量金融學的學生，《定量風險管理》都為您提供了解決實際問題所需的實用工具。

本書描述了該領域的最新進展，涵蓋了市場風險、信用風險和運營風險建模的方法。它將標準行業方法放在更正式的基礎上，探討了損失分布、風險度量和風險匯總和分配原則等關鍵概念。本書的方法融合了數學金融、統計學、計量經濟學和精算數學等多個定量學科。其中一個主要主題是需要滿意地處理極端結果和關鍵風險驅動因素的相依性。本書還涵蓋了像信用衍生品這樣的高級主題。

本書經過全面修訂和擴充，以反映自金融危機以來該領域的發展。為了便於教學和學習，本書的章節更短。它增加了對Solvency II和保險風險管理的涵蓋範圍，並延伸了對信用風險的處理，包括交易對手信用風險和CDO定價。本書還新增了一章關於市場風險，並增加了有關風險度量和風險匯總的新材料。