On Monday 31 August, the Scottish Financial Risk Academy (SFRA) hosted a reception to celebrate the publication of the 2nd edition of Quantitative Risk Management: Concepts, Techniques and Tools (Princeton University Press, 2015) by Alexander McNeil, Rüdiger Frey and Paul Embrechts. The first edition of the book was published in 2005, and has met with considerable recognition and success as an academic textbook used by financial risk scholars and industry practitioners.
The reception was held at The Library of Mistakes in Edinburgh and the three authors were present to sign copies of the book. Guests included many industry representatives from the financial risk community in Scotland and further afield, together with academics from Heriot-Watt and Edinburgh Universities.
Paul Embrechts is Professor of Mathematics at the ETH Zurich. He belongs to numerous national and international research and academic advisory committees and was the recipient of an Honorary Doctorate from Heriot-Watt University in 2011, in recognition of his pioneering contribution to the advancement of actuarial mathematics and quantitative risk management.
Rüdiger Frey is Professor of Mathematics and Finance at WU Vienna. His main research fields are quantitative risk management, dynamic credit risk models and the pricing and hedging of derivatives under incompleteness and market frictions.
Alexander McNeil is Director of the Scottish Financial Risk Academy and Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. Alex's interests lie in the development of mathematical and statistical methodology for integrated financial risk management and include extreme value theory (EVT), risk theory, financial time series analysis and the modelling of correlated risks.
The Scottish Financial Risk Academy was established in 2010 and is an industry-academic partnership dedicated to improving the understanding of financial risk. Its knowledge exchange activities include the flagship biannual Risk Colloquium series, advanced training workshops for industry practitioners, student placements, industry-led teaching on university courses and a visiting scholar programme.
For further information on the SFRA you can contact Alexander McNeil or Noreen O'Donnell.