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 398 articles , 1 standard article )

Showing results 1 to 20 of 398.
Sorted by year (citations)

1 2 3 ... 18 19 20 next

  1. Andersen, Lars Nørvang; Laub, Patrick J.; Rojas-Nandayapa, Leonardo: Efficient simulation for dependent rare events with applications to extremes (2018)
  2. Bingham, N. H.; Ostaszewski, A. J.: Additivity, subadditivity and linearity: automatic continuity and quantifier weakening (2018)
  3. Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry: Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (2018)
  4. Dalessandro, Antonio; Peters, Gareth W.: Tensor approximation of generalized correlated diffusions and functional copula operators (2018)
  5. Damian, Camilla; Eksi, Zehra; Frey, Rüdiger: EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (2018)
  6. Martins-Filho, Carlos; Yao, Feng; Torero, Maximo: Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory (2018)
  7. Miyata, Yoichi: Laplace approximations using $n^\alpha$-consistent estimators (2018)
  8. Natarajan, Karthik; Shi, Dongjian; Toh, Kim-Chuan: Bounds for random binary quadratic programs (2018)
  9. Bee, M.: Density approximations and VaR computation for compound Poisson-lognormal distributions (2017)
  10. Belzile, Léo R.; Nešlehová, Johanna G.: Extremal attractors of Liouville copulas (2017)
  11. Bienvenüe, Alexis; Robert, Christian Y.: Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions (2017)
  12. Bingham, N.H.; Ostaszewski, A.J.: Category-measure duality: convexity, midpoint convexity and Berz sublinearity (2017)
  13. Boonen, Tim J.: Solvency II solvency capital requirement for life insurance companies based on expected shortfall (2017)
  14. Bouzebda, Salim: Kac’s representation for empirical copula process from an asymptotic viewpoint (2017)
  15. Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
  16. Chen, Xinjuan; Li, Jinglai: A subset multicanonical Monte Carlo method for simulating rare failure events (2017)
  17. Chen, Yiqing; Yuan, Zhongyi: A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks (2017)
  18. Du, Jiangze; Lai, Kin Keung: Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (2017)
  19. Goldberg, Lisa R.; Mahmoud, Ola: Drawdown: from practice to theory and back again (2017)
  20. Gribkova, N.; Zitikis, R.: Statistical foundations for assessing the difference between the classical and weighted-Gini betas (2017)

1 2 3 ... 18 19 20 next