The ABC of QRM


Over the past decade, quantitative risk management (QRM) has had an increasing impact on all financial institutions. The main driving force behind the rise of advanced QRM is arguably the new regulatory framework laid down in the Basel II capital Accord (for banks) and Solvency II (for the insurance industry). It is therefore reasonable that McNeil, Frey and Embrechts start with a discussion of the fundamental role QRM has to play within this regulatory framework.

In the following chapters, a

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