McNeil, Frey, Embrechts: Quantitative Risk Management

McNeil, A., Frey, R., Embrechts, P. Quantitative Risk Management: concepts, techniques, and tools Princeton University Press, 2005

Content

1. Risk in Perspective
2. Basic Concepts in Risk Management
3. Multivariate Models
4. Financial Time Series
5. Copulas and Dependence
6. Aggregate Risk
7. Extreme Value Theory
8. Credit Risk Management
9. Dynamic Credit Risk Models
10. Operational Risk and Insurance Analytics