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.
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References in zbMATH (referenced in 256 articles , 1 standard article )
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- Embrechts, Paul; Jakobsons, Edgars: Dependence uncertainty for aggregate risk: examples and simple bounds (2016)
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- 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)