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 362 articles , 1 standard article )

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  1. Martins-Filho, Carlos; Yao, Feng; Torero, Maximo: Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory (2018)
  2. Bee, M.: Density approximations and VaR computation for compound Poisson-lognormal distributions (2017)
  3. Belzile, Léo R.; Nešlehová, Johanna G.: Extremal attractors of Liouville copulas (2017)
  4. Bienvenüe, Alexis; Robert, Christian Y.: Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions (2017)
  5. Bingham, N.H.; Ostaszewski, A.J.: Category-measure duality: convexity, midpoint convexity and Berz sublinearity (2017)
  6. Bouzebda, Salim: Kac’s representation for empirical copula process from an asymptotic viewpoint (2017)
  7. Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
  8. Chen, Yiqing; Yuan, Zhongyi: A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks (2017)
  9. Du, Jiangze; Lai, Kin Keung: Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (2017)
  10. Goldberg, Lisa R.; Mahmoud, Ola: Drawdown: from practice to theory and back again (2017)
  11. Guo, Nan; Wang, Fang; Yang, Jingping: Remarks on composite Bernstein copula and its application to credit risk analysis (2017)
  12. Hoelle, Matthew: The effects of dependent beliefs on endogenous leverage (2017)
  13. Hofert, Marius; Memartoluie, Amir; Saunders, David; Wirjanto, Tony: Improved algorithms for computing worst value-at-risk (2017)
  14. Hua, Lei: On a bivariate copula with both upper and lower full-range tail dependence (2017)
  15. Hua, Lei; Joe, Harry: Multivariate dependence modeling based on comonotonic factors (2017)
  16. Jaworski, Piotr: On conditional value at risk (CoVaR) for tail-dependent copulas (2017)
  17. Liu, Xijun; Yu, Changjun; Gao, Qingwu: Precise large deviations of aggregate claim amount in a dependent renewal risk model (2017)
  18. Murray, Paula M.; Browne, Ryan P.; McNicholas, Paul D.: Hidden truncation hyperbolic distributions, finite mixtures thereof, and their application for clustering (2017)
  19. Naderi, Mehrdad; Arabpour, Alireza; Lin, Tsung-I; Jamalizadeh, Ahad: Nonlinear regression models based on the normal mean-variance mixture of Birnbaum-Saunders distribution (2017)
  20. Pumi, Guilherme; Lopes, Sílvia R.C.: Copulas related to piecewise monotone functions of the interval and associated processes (2017)

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