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1、QuantitativeRiskManagementConcepts,TechniquesandToolsAlexanderJ.McNeilR¨udigerFreyPaulEmbrechtsPrincetonUniversityPressPrincetonandOxfordCopyrightc2005byPrincetonUniversityPressPublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJersey08540Int
2、heUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,OxfordshireOX201SYAllrightsreservedLibraryofCongressCataloguing-in-PublicationDataMcNeil,AlexanderJ.,1967–Quantitativeriskmanagement:concepts,techniques,andtools/AlexanderJ.McNeil,R¨udigerFrey,
3、PaulEmbrechtsp.cm.—(Princetonseriesinfinance)Includesbibliographicalreferencesandindex.ISBN0-691-12255-5(cloth:alk.paper)1.Riskmanagement—Mathematicalmodels.2.Finance—Mathematicalmodels.3.Insurance—Mathematicalmodels.4.Mathematicalstatistics.I.Frey,R¨udiger.
4、II.Embrechts,Paul.III.Title.IV.Series.HD61.M3952005658.1550151—pcc222005049603BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibraryThisbookhasbeencomposedinTimesandtypesetbyT&TProductionsLtd,LondonPrintedo
5、nacid-freepaper∞www.pup.princeton.eduPrintedintheUnitedStatesofAmerica10987654321ContentsPrefacexiii1RiskinPerspective11.1Risk11.1.1RiskandRandomness11.1.2FinancialRisk21.1.3MeasurementandManagement31.2ABriefHistoryofRiskManagement51.2.1FromBabylontoWallSt
6、reet51.2.2TheRoadtoRegulation81.3TheNewRegulatoryFramework101.3.1BaselII101.3.2Solvency2131.4WhyManageFinancialRisk?151.4.1ASocietalView151.4.2TheShareholder’sView161.4.3EconomicCapital181.5QuantitativeRiskManagement191.5.1TheNatureoftheChallenge191.5.2QRMf
7、ortheFuture222BasicConceptsinRiskManagement252.1RiskFactorsandLossDistributions252.1.1GeneralDefinitions252.1.2ConditionalandUnconditionalLossDistribution282.1.3MappingofRisks:SomeExamples292.2RiskMeasurement342.2.1ApproachestoRiskMeasurement342.2.2Value-at-
8、Risk372.2.3FurtherCommentsonVaR402.2.4OtherRiskMeasuresBasedonLossDistributions432.3StandardMethodsforMarketRisks482.3.1Variance–CovarianceMethod482.3.2HistoricalSimulation502.3.3MonteCarlo522.3.4Losse
