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

DOI10.1007/S10687-017-0286-4zbMath1378.00092OpenAlexW2587155750MaRDI QIDQ1675712

Chen Zhou

Publication date: 2 November 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-017-0286-4

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

Cites Work

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