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Correlation and Dependence in Risk Management: Properties and Pitfalls BOOK CHAPTER published 10 January 2002 in Risk Management |
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Review of risk management JOURNAL ARTICLE published March 2003 in ACM SIGSAM Bulletin |
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Introduction BOOK CHAPTER published 10 January 2002 in Risk Management |
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Risk Management BOOK published 10 January 2002 |
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Dynamic Portfolio Replication Using Stochastic Programming BOOK CHAPTER published 10 January 2002 in Risk Management |
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Extremes in Operational Risk Management BOOK CHAPTER published 10 January 2002 in Risk Management |
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Measuring Risk with Extreme Value Theory BOOK CHAPTER published 10 January 2002 in Risk Management |
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Value at Risk Analysis of a Leveraged Swap BOOK CHAPTER published 10 January 2002 in Risk Management |
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Modelling Dependence with Copulas and Applications to Risk Management BOOK CHAPTER published 2003 in Handbook of Heavy Tailed Distributions in Finance |
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Stress Testing in a Value at Risk Framework BOOK CHAPTER published 10 January 2002 in Risk Management |
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Beyond Value‐at‐Risk OTHER published 2 January 2012 in Market Risk Management for Hedge Funds |
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Quantifying the Risks of Trading BOOK CHAPTER published 10 January 2002 in Risk Management |
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Credit and Interest Rate Risk BOOK CHAPTER published 10 January 2002 in Risk Management |
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Coherent Measures of Risk BOOK CHAPTER published 10 January 2002 in Risk Management |
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Quantitative Risk Management: Concepts, Techniques, Tools. By Alexander J. McNeil, Rüdiger Frey & Paul Embrechts (Princeton University Press, 2005) JOURNAL ARTICLE published March 2007 in Annals of Actuarial Science |
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Book review: quantitative risk management: concepts, techniques and tools, revised edition, by A.F. McNeil, R. Frey and P. Embrechts. Princeton University Press, 2015, ISBN 978-0-691-16627-8, xix + 700 pp. JOURNAL ARTICLE published June 2017 in Extremes |
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& Systematic Credit Risk: CDX Index Correlation and Extreme Dependence BOOK CHAPTER published 28 May 2008 in Credit Risk |
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Beyond normality and correlation BOOK CHAPTER published 3 October 2014 in Understanding Financial Risk Management |
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McNeil, Alexander J., Frey, Rüdiger, and Embrechts, Paul, 2005,Quantitative Risk Management JOURNAL ARTICLE published April 2006 in North American Actuarial Journal |
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Risk Management BOOK CHAPTER published 2002 in Strategy, Value and Risk — The Real Options Approach |