QRM
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.
Keywords for this software
References in zbMATH (referenced in 236 articles , 1 standard article )
Showing results 1 to 20 of 236.
Sorted by year (- Bae, Taehan; Iscoe, Ian: On the limit of conditional Spearman’s rho under the common factor model (2016)
- Bignozzi, Valeria; Mao, Tiantian; Wang, Bin; Wang, Ruodu: Diversification limit of quantiles under dependence uncertainty (2016)
- Das, Bikramjit; Ghosh, Souvik: Detecting tail behavior: mean excess plots with confidence bounds (2016)
- Durante, Fabrizio; Girard, Stéphane; Mazo, Gildas: Marshall-Olkin type copulas generated by a global shock (2016)
- Lehmann, Christoph; Tillich, Daniel: Consensus information and consensus rating. A note on methodological problems of rating aggregation (2016)
- Liao, Xin; Peng, Liang; Peng, ZuoXiang; Zheng, YanTing: Dynamic bivariate normal copula (2016)
- Mazo, Gildas; Girard, Stéphane; Forbes, Florence: A flexible and tractable class of one-factor copulas (2016)
- Ratovomirija, Gildas: On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk (2016)
- Tankov, Peter: Tails of weakly dependent random vectors (2016)
- Veraart, Almut E.D.: Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes (2016)
- Wei, Li; Yuan, Zhongyi: The loss given default of a low-default portfolio with weak contagion (2016)
- Ye, Wuyi; Zhu, Yangguang; Wu, Yuehua; Miao, Baiqi: Markov regime-switching quantile regression models and financial contagion detection (2016)
- Zhou, Quan; Chen, Zhenlong; Ming, Ruixing: Copula-based grouped risk aggregation under mixed operation. (2016)
- Arslan, Olcay: Variance-mean mixture of the multivariate skew normal distribution (2015)
- Assa, Hirbod: Trade-off between robust risk measurement and market principles (2015)
- Bernard, Carole; Czado, Claudia: Conditional quantiles and tail dependence (2015)
- Bernard, Carole; Vanduffel, Steven: Quantile of a mixture with application to model risk assessment (2015)
- Brechmann, Eike C.; Joe, Harry: Truncation of vine copulas using fit indices (2015)
- Chen, Yiqing; Liu, Jiajun; Liu, Fei: Ruin with insurance and financial risks following the least risky FGM dependence structure (2015)
- D’Amico, Guglielmo; Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo: Discrete time homogeneous Markov processes for the study of the basic risk processes (2015)