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.
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References in zbMATH (referenced in 255 articles , 1 standard article )
Showing results 1 to 20 of 255.
Sorted by year (- Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
- Allen, D.E.; Powell, R.J.; Singh, A.K.: Take it to the limit: innovative CVaR applications to extreme credit risk measurement (2016)
- Artikis, Panagiotis T.: Deriving advantage over a crisis by incorporating a new class of stochastic models for risk control operations (2016)
- Asimit, Alexandru V.; Gerrard, Russell; Hou, Yanxi; Peng, Liang: Tail dependence measure for examining financial extreme co-movements (2016)
- 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)
- Bücher, Axel; Kojadinovic, Ivan: An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures (2016)
- C^oté, Marie-Pier; Genest, Christian; Abdallah, Anas: Rank-based methods for modeling dependence between loss triangles (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)
- Embrechts, Paul; Jakobsons, Edgars: Dependence uncertainty for aggregate risk: examples and simple bounds (2016)
- Ignatieva, Katja; Trück, Stefan: Modeling spot price dependence in Australian electricity markets with applications to risk management (2016)
- Landsman, Zinoviy; Makov, Udi; Shushi, Tomer: Multivariate tail conditional expectation for elliptical distributions (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)
- Li, Yunxian; Tang, Niansheng; Jiang, Xuejun: Bayesian approaches for analyzing earthquake catastrophic risk (2016)
- Mazo, Gildas; Girard, Stéphane; Forbes, Florence: A flexible and tractable class of one-factor copulas (2016)
- Mikosch, Thomas: Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Rev. ed. (2016)
- Mizgier, Kamil J.; Pasia, Joseph M.: Multiobjective optimization of credit capital allocation in financial institutions (2016)
- Nešlehová, Johanna G.: Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. (2016)