Quantitative Risk Management

McNeil, A. J., Frey, & Embrechts, P. (2015). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press.

Type

Book chapter

Intellectual base

Review or monograph

Year

2015

ISBN

9780691166278

Link

https://openlibrary.org/isbn/9780691166278verified

Cited from

economics_finance

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Primes

• Risk Pooling
  • It is not a risk-free mechanism.

    This sourceDevelops copula and tail-dependence frameworks showing how pooling assumptions break down under common-mode shocks and extreme co-movements.

Domain-specific

• Tail dependence
  • Each coefficient lies in \([0,1]\) and asks whether co-movement persists at matched increasingly extreme marginal quantiles.

Verification

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Registry ID ref:a1006291d812 · see in the full table