Quantitative Risk Management: Concepts, Techniques and Tools

Alexander J. McNeil, Rüdiger Frey and Paul Embrechts

Princeton University Press, 2005

Errata

• xiv, -5. Mathematisches Forschungsinstitut Oberwohlfach.
• 6. Fischer Black.
• 6. Stock market crashed in 1987.
• 95, below equation (3.53). Should refer to stochastic representation (3.47).
  
• 112, 6. Superfluous t subscript on F.
• 141, line after (4.22). The notation \ln^+ is redundant.
  
• 186, first paragraph after Proposition 5.2. The references to 5.2(1) and 5.2(2) are the wrong way round.
• 188, -9. u_n should be u_d
  
• 189, formula (5.5). Missing subscripts 1 to d.
• 203, 15. Should be X_1 + X_2.
• 208, 2. A "4" is missing in front of integral.
  
• 223, proof of Proposition 5.46. x should be v.
• 232, formula (5.51) should have hats on the U's.
• 252. C^t is in general only a copula for d=2, hence the result on the sharpness of the bound in (6.13) has only been proved in that case.
• 269. Theorem 7.10. Should read F in MDA(H_xi).
• 295, above (7.26). as a rv.
  
• 370, first displayed formula. Missing minus sign in final normal density.
  
• 444, 15. Should be p_i(v) and t in same expression should be T.
• 476, 18. where where