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Quantitative Risk Management:
Concepts, Techniques and Tools
Revised Edition
Alexander J. McNeil, Rüdiger Frey & Paul Embrechts

One of the Top 10 Technical Books on Financial Engineering by Financial Engineering News for 2006

Hardcover | 2015 | $90.00 | £66.95 | ISBN: 9780691166278
720 pp. | 7 x 10
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eBook | ISBN: 9781400866281 |
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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

Alexander J. McNeil is professor of actuarial mathematics and statistics at Heriot-Watt University in Edinburgh. Rüdiger Frey is professor of mathematics and finance at the Vienna University of Economics and Business. Paul Embrechts is professor of mathematics at the Swiss Federal Institute of Technology in Zurich.

Reviews:

Praise for the previous edition: "This book provides a state-of-the-art discussion of the three main categories of risk in financial markets, market risk, . . . credit risk . . . and operational risk. . . . This is a high level, but well-written treatment, rigorous (sometimes succinct), complete with theorems and proofs."--D.L. McLeish, Short Book Reviews of the International Statistical Institute

Praise for the previous edition: "A great summary of the latest techniques available within quantitative risk measurement. . . . [I]t is an excellent text to have on the shelf as a reference when your day job covers the whole spectrum of quantitative techniques in risk management."--Financial Engineering News

Praise for the previous edition: "Alexander McNeil, Rudiger Frey and Paul Embrechts have written a beautiful book. . . . [T]here is no book that can provide the type of rigorous, detailed, well balanced and relevant coverage of quantitative risk management topics that Quantitative Risk Management: Concepts, Techniques, and Tools offers. . . . I believe that this work may become the book on quantitative risk management. . . . [N]o book that I know of can provide better guidance."--Dr. Riccardo Rebonato, Global Association of Risk Professionals (GARP) Review

Praise for the previous edition: "This is a very impressive book on a rapidly growing field. It certainly helps to discover the forest in an area where a lot of trees are popping up daily."--Hans Bühlmann, SIAM Review

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