Centro de Documentación de Fundación MAPFRE - Quantitative risk management : concepts, techniques and tools

MAP20070040534

Quantitative risk management : concepts, techniques and tools / Alexander J. McNeil, Rüdiger Frey, Paul Embrechts. — New Jersey : Princenton University Press, cop. 2005

XV, 538 p. ; 24 cm

Risk in perspective -- Basic concepts in risk management -- Multivariate models -- Financial times series -- Copulas and dependences -- Aggregate risk -- Extreme value theory -- Credit risk management -- Dynamic credit risk models -- Operational risk and insurance analytics

ISBN 978-0-691-12255-7

1. Gerencia de riesgos . 2. Riesgo operacional . 3. Teoría del riesgo . 4. Análisis multivariante . 5. Valoración de riesgos . 6. Métodos cuantitativos . I. Frey, Rüdiger . II. Embrechts, Paul . III. Título.