This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers - whether financial risk analysts, actuaries, regulators, or students of quantitative finance - with practical tools to solve real-world problems

Time series of financial asset values exhibit well known statistical features such as heavy tails and volatility clustering. Strongly present in some series, nonstationarity is a feature that has been somewhat overlooked. This may however be a highly relevant feature when estimating extreme...

Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...