Quantitative Risk Management: Concepts, Techniques and Tools, by Alexander J.McNeil, RüdigerFrey and PaulEmbrechts. Revised edition. Published by Princeton University Press, 2015. Total number of pages: 720. ISBN: 978‐0‐691‐16627‐8 (Hardback)
DOI10.1111/jtsa.12177zbMath1341.00037OpenAlexW2291225689MaRDI QIDQ2802916
Publication date: 3 May 2016
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12177
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40) External book reviews (00A17)
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