Quantitative Risk Management: Concepts, Techniques, and Tools

In recent decades the field of financial risk management has undergone explosive development. This book is devoted specifically to quantitative modelling issues arising in this field. As a result of our own discussions and joint projects with industry professionals and regulators over a number of years, we felt there was a need for a textbook treatment of quantitative risk management (QRM) at a technical yet accessible level, aimed at both industry participants and students seeking an entrance to the area. We have tried to bring together a body of methodology that we consider to be core material for any course on the subject. This material and its mode of presentation represent the blending of our own views, which come from the perspectives of financial mathematics, insurance mathematics and statistics. We feel that a book combining these viewpoints fills a gap in the existing literature and partly anticipates the future need for quantitative risk managers in banks, insurance companies and beyond with broad, interdisciplinary skills.