Quantitative Risk Management: Concepts, Techniques and Tools - Revised Edition Alexander J. McNeil, Rudiger Frey and Paul Embrechts is an English-language textbook aimed at financial risk analysts, actuarial professionals, and students in quantitative risk management.
This reference work provides a thorough treatment of the theory and methods in quantitative risk management. The book covers techniques and tools for market, credit, and operational risk management and places emphasis on risk modeling, risk measures, and risk assessment. The focus is on the approach to extreme outcomes and dependencies between risk factors. It also includes new chapters on market and credit risk, including the impact of Solvency II and the treatment of more complex risk variables such as credit derivatives.
The content connects with fields such as finance, budget management, and general business economics. This revised edition is part of the Princeton Series in Finance and is suitable as a textbook for higher education and for professionals who want to deepen their knowledge of quantitative risk management.