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 235 articles , 1 standard article )
Showing results 1 to 20 of 235.
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)
- 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)
- Di Bernardino, E.; Fernández-Ponce, J.M.; Palacios-Rodríguez, F.; Rodríguez-Griñolo, M.R.: On multivariate extensions of the conditional value-at-risk measure (2015)