Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Rev. ed.

DOI10.1007/S13385-016-0122-2zbMath1347.00025OpenAlexW2279259492MaRDI QIDQ303746

Thomas Mikosch

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0122-2

Mathematics Subject Classification ID

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)

Uses Software

• QRM

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