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 637 articles , 1 standard article )

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  1. Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven: Range value-at-risk bounds for unimodal distributions under partial information (2020)
  2. Bianchi, Michele Leonardo; Tassinari, Gian Luca: Forward-looking portfolio selection with multivariate non-Gaussian models (2020)
  3. Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; Schmidt, Thorsten: Fair estimation of capital risk allocation (2020)
  4. Bonnefont, Michel; Juillet, Nicolas: Couplings in (L^p) distance of two Brownian motions and their Lévy area (2020)
  5. Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K.: Partially censored posterior for robust and efficient risk evaluation (2020)
  6. Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena: Value adjustments and dynamic hedging of reinsurance counterparty risk (2020)
  7. Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne: On sums of two counter-monotonic risks (2020)
  8. Cheung, K. C.; Yuen, F. L.: On the uncertainty of VaR of individual risk (2020)
  9. Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre: Ruin-based risk measures in discrete-time risk models (2020)
  10. de Klerk, Etienne; Kuhn, Daniel; Postek, Krzysztof: Distributionally robust optimization with polynomial densities: theory, models and algorithms (2020)
  11. Diem, Christian; Pichler, Anton; Thurner, Stefan: What is the minimal systemic risk in financial exposure networks? (2020)
  12. dos Reis, G.; Pfeuffer, M.; Smith, G.: Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations (2020)
  13. Egami, Masahiko; Kevkhishvili, Rusudan: Time reversal and last passage time of diffusions with applications to credit risk management (2020)
  14. Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu: Quantile-based risk sharing with heterogeneous beliefs (2020)
  15. Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander: Optimal risk-sharing across a network of insurance companies (2020)
  16. Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping: Copula-based Markov process (2020)
  17. Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey: On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (2020)
  18. Heinen, Andréas; Valdesogo, Alfonso: Spearman rank correlation of the bivariate Student (t) and scale mixtures of normal distributions (2020)
  19. Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina: Multivariate geometric tail- and range-value-at-risk (2020)
  20. Hou, Yanxi; Li, Deyuan; Liu, Aiai; Peng, Liang: Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas (2020)

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