Serving the Quantitative Finance Community

 
User avatar
ntruwant
Topic Author
Posts: 0
Joined: August 3rd, 2004, 9:50 am

Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)

December 14th, 2008, 12:36 pm

Hihas anyone read this book: is it good?
 
User avatar
FaridMoussaoui
Posts: 327
Joined: June 20th, 2008, 10:05 am
Location: Genève, Genf, Ginevra, Geneva

Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)

December 15th, 2008, 8:01 am

Hi, The best book ever written on QRM. It has a rigourous coverage of RM (mathematics oriented).It is also supplied with S-plus (and so also R) software to reproduce the resultsin the book. This software is downloadable from Mc Neil web page.F.
Last edited by FaridMoussaoui on December 14th, 2008, 11:00 pm, edited 1 time in total.
 
User avatar
WilmottBookshop
Posts: 0
Joined: August 1st, 2002, 2:40 pm

Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)

December 15th, 2008, 8:11 am

Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts
 
User avatar
C3I2
Posts: 0
Joined: November 26th, 2003, 12:58 am

Quantitative Risk Management:Concepts, Techniques, and Tools (Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts)

December 15th, 2008, 3:03 pm

I cant say I read it. I bought it and looked up parts of it, when I needed to do calculations. Its really mathematically dense in parts, and that is due to the authors background obviously; but if you think maths make things clearer always then it is not a problem for you.That said, despite it being, about 3 years old now, it looks ok; the parts I used seem to go into high detail; so for somebody like me with a business/finance background you use it as a reference only; but for a more math oriented background you might actually be able to read it trough.