QRM

R package QRM: Provides R-language Code to Examine Quantitative Risk Management Concepts. This package is designed to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey, and Paul Embrechts: This book is primarily a textbook for courses in quantitative risk management (QRM) aimed at advanced undergraduate or graduate students and professionals from the financial industry. The book has a secondary function as a reference text for risk professionals interested in a clear and concise treatment of concepts and techniques used on practice. Different courses can be devised based on different chapters of the book: market risk, credit risk, operational risk, risk-measurement and aggregation concepts, risk-management techniques for financial econometricians. Material from various chapters could be used as interesting examples for statistics courses on subjects like multivariate analysis, time series analysis and generalized linear modelling.


References in zbMATH (referenced in 427 articles , 1 standard article )

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  1. Andersen, Lars Nørvang; Laub, Patrick J.; Rojas-Nandayapa, Leonardo: Efficient simulation for dependent rare events with applications to extremes (2018)
  2. Asimit, Alexandru V.; Li, Jinzhu: Measuring the tail risk: an asymptotic approach (2018)
  3. Asimit, Alexandru V.; Li, Jinzhu: Systemic risk: an asymptotic evaluation (2018)
  4. Bee, Marco; Dickson, Maria Michela; Santi, Flavio: Likelihood-based risk estimation for variance-gamma models (2018)
  5. Bhati, Deepesh; Ravi, Sreenivasan: On generalized log-Moyal distribution: a new heavy tailed size distribution (2018)
  6. Bingham, N. H.; Ostaszewski, A. J.: Additivity, subadditivity and linearity: automatic continuity and quantifier weakening (2018)
  7. Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry: Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (2018)
  8. Dalessandro, Antonio; Peters, Gareth W.: Tensor approximation of generalized correlated diffusions and functional copula operators (2018)
  9. Damian, Camilla; Eksi, Zehra; Frey, Rüdiger: EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (2018)
  10. Eckert, Johanna; Gatzert, Nadine: Risk- and value-based management for non-life insurers under solvency constraints (2018)
  11. Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes: Optimal rebalancing frequencies for multidimensional portfolios (2018)
  12. Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas: Weighted risk capital allocations in the presence of systematic risk (2018)
  13. Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping: Stochastic distortion and its transformed copula (2018)
  14. Martins-Filho, Carlos; Yao, Feng; Torero, Maximo: Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory (2018)
  15. Miyata, Yoichi: Laplace approximations using $n^\alpha$-consistent estimators (2018)
  16. Natarajan, Karthik; Shi, Dongjian; Toh, Kim-Chuan: Bounds for random binary quadratic programs (2018)
  17. Ramponi, Federico Alessandro; Campi, Marco C.: Expected shortfall: heuristics and certificates (2018)
  18. Rootzén, Holger; Segers, Johan; Wadsworth, Jennifer L.: Multivariate peaks over thresholds models (2018)
  19. Stupfler, Gilles; Yang, Fan: Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling (2018)
  20. Wagalath, Lakshithe; Zubelli, Jorge P.: A liquidation risk adjustment for value at risk and expected shortfall (2018)

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