This book provides the most comprehensive treatment of the theo r etical concepts a nd modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulato r o r student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-wo r ld problems.

Describing the latest advances in the field, Quantitative Risk Management covers the methods fo r market, credit a nd operational risk modelling. It places sta ndard industry approaches on a mo r e fo r mal footing a nd explo r es key concepts such as loss distributions, risk measures a nd risk aggregation a nd allocation principles. The book’s methodology draws on diverse quantitative disciplines, fr om mathematical finance a nd statistics to econometrics a nd actuarial mathematics. A primary theme throughout is the need to satisfacto r ily address extreme outcomes a nd the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.

Fully revised a nd expa nded to reflect developments in the field since the financial crisis Features sho r ter chapters to facilitate teaching a nd learning Provides enhanced coverage of Solvency II a nd insurance risk management a nd extended treatment of credit risk, including counterparty credit risk a nd CDO pricing Includes a new chapter on market risk a nd new material on risk measures a nd risk aggregation