Quantitative Risk Management (notice n° 1556310)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02385cam a2200301zu 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | FRCYB88807812 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20251020124055.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 251020s2005 fr | o|||||0|0|||eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780691122557 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | FRCYB88807812 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | FR-PaCSA |
| Language of cataloging | en |
| Transcribing agency | |
| Description conventions | rda |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | McNeil, Alexander J. |
| 245 01 - TITLE STATEMENT | |
| Title | Quantitative Risk Management |
| Remainder of title | Concepts, Techniques, and Tools |
| Statement of responsibility, etc. | ['McNeil, Alexander J.', 'Frey, Rüdiger', 'Embrechts, Paul'] |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Name of producer, publisher, distributor, manufacturer | Princeton University Press |
| Date of production, publication, distribution, manufacture, or copyright notice | 2005 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | p. |
| 336 ## - CONTENT TYPE | |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type code | c |
| Source | rdamdedia |
| 338 ## - CARRIER TYPE | |
| Carrier type code | c |
| Source | rdacarrier |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | McNeil, Alexander J. |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Frey, Rüdiger |
| 700 0# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Embrechts, Paul |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Access method | Cyberlibris |
| Uniform Resource Identifier | <a href="https://international.scholarvox.com/netsen/book/88807812">https://international.scholarvox.com/netsen/book/88807812</a> |
| Electronic format type | text/html |
| Host name | |
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