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.
• 50. \tilde \Sigma should be \Sigma, the dispersion matrix of the multivariate t.
• 74. should be "The correlation matrices of X and AZ are the same...".
• 95, below equation (3.53). Should refer to stochastic representation (3.47).
• 95. should be vector b in R^k, which should also be bold face in (3.51)
  
• 110. Drop word "principal" on line 16.
  
• 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.
• 191, -6. Should be comonotonicity (5.7).
• 193. Axis labels of Figure 5.3 should be U_1 and U_2.
  
• 203, 15. Should be X_1 + X_2.
• 208, 2. A "4" is missing in front of integral.
• 208. Second line from bottom of page should read "limit as $q$ goes to one."
  
• 223, proof of Proposition 5.46. x should be v.
• 228. Alsina, Frank and Schweizer (2003).
  
• 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.
• 433, (9.53). the fraction should read $\frac{P(\tau_j >T_1+t, j \in A_1 \mid \F_\infty)}{P((\tau_j >T_1 j \in A_1 \mid \F_\infty)}$ (T_1 and xi_1 no longer in the conditioning, but their observed / simulated values plugged in)
• 444, 19. Should be $p_i(\mathbf{v})=1- \bar F_{\tau_i \mid \mathbf{V}}(T \mid \mathbf{v})$
  
• 476, 18. where where
• 495, for part (vi) should assume T right-continuous
  
• 498, in the formula (A.14)  tan(\pi/2)\alpha -> tan(\alpha\pi/2)
• 509. Reference to Delbaen, Grandits, Rheinlander, Sampieri, Schweizer, Stricker (2002). should be Samperi.