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Record Nr. |
UNISALENTO991000512269707536 |
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Autore |
McNeil, Alexander J. |
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Titolo |
Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts |
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Pubbl/distr/stampa |
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Princeton, N.J. : Princeton University Press, c2005 |
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ISBN |
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Descrizione fisica |
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xv, 538 p. : ill. ; 25 cm |
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Collana |
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Princeton series in finance |
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Classificazione |
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Altri autori (Persone) |
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Frey, Rüdigerauthor |
Embrechts, Paul |
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Disciplina |
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Soggetti |
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Risk management - Mathematical models |
Finance - Mathematical models |
Insurance - Mathematical models |
Mathematical statistics |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references (p. [503]-527) and index |
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Nota di contenuto |
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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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