Review of A. J. McNeil, R. Frey, P. Embrechts: Quantitative risk management. Concepts, techniques and tools

Excerpt

Since the first edition of this book appeared in 2005 it has become a successful standard textbook on quantitative risk management (QRM); it is also used as a major reference in the Actuarial Master Program at my department and the students like it. This is a revised edition. What is new? At a first glance, the format of the book has changed—the pages are wider and higher and contain more text—and the number of pages has increased too (from 538 to 699). There is more space for formulas, tables, graphs and text on each page. This contributes to the readability; it is a pleasure just to browse through the book and to get a first impression. It contains numerous examples of real-life and simulated data, tables and graphs that illustrate the theory nicely. The cover of the revised edition has changed too: it has become more attractive. The cover of the previous version was more colorful but one needed to think a while about what the cover graph might mean (I never got it…). The new graph shows a banker in typical black suit, tie and white shirt carrying a suitcase (full of money, I assume), balancing on a red rope over the abyss called market… …