Embrechts' Quantitative Risk Management textbook

[robopool]

To the people who have read the book Quantitative Risk Management by Embrechts, McNeil and Frey:

What did you think of it? In terms of

i) clarity of writing
ii) style of teaching and
iii) comprehensiveness ?

 

[bigbadwolf]

To the people who have read the book Quantitative Risk Management by Embrechts, McNeil and Frey:

What did you think of it? In terms of

i) clarity of writing
ii) style of teaching and
iii) comprehensiveness ?

*Shrug* -- typical financial engineering book, i.e., mediocre. It claims in the preface to be a text for advanced undergrads, grad students, and professionals. I don't think it can be used by the first category and even the second category will have problems with it. Professionals might like it as a ready reference for tools but look elsewhere to see worked examples.

In my humble opinion, the book is a copy-and-paste job: formulas have been pasted, with some accompanying text that doesn't really shed any light on them. That is to say, there is no "style of teaching" as the book is just a compendium of abstract formulas and ditto for "clarity of writing."

A good quant text -- like any good math text -- should have clearly worked examples and a style of exposition that sheds light on what's going on. A large number of quant texts are garbage and -- in my opinion -- this is one of them.

 

[robopool]

Ok, well, I have already finished a Master in Financial Engineering. I've already worked on almost all the concepts mentioned in there, so I definitely don't want an elementary book.

The copy-paste books are a waste of time and energy. What do you recommend in place of this one?

 

[bigbadwolf]

Ok, well, I have already finished a Master in Financial Engineering. I've already worked on almost all the concepts mentioned in there, so I definitely don't want an elementary book.

The copy-paste books are a waste of time and energy. What do you recommend in place of this one?

You are not being clear. If you have already worked through most of the concepts, why do want an expository book at all? And if you don't want an elementary book, what kind do you want?

 

[robopool]

If you have already worked through most of the concepts, why do want an expository book at all?

Well, as I said, I'm familiar with the concepts, but I'd like to become an expert in quantitative risk management. Just because I know the concepts behind the methodology (ie. distributions, probability spaces, econometric analysis, etc), doesn't mean that I know how to implement a QRM strucutre, or how to improve an existing one, etc. I would really like to see how QRM is generally conducted, and read about advanced topics in QRM.

And if you don't want an elementary book, what kind do you want?

There are elementary books, intermediate books and advanced books. I would like an intermediate book.