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 677 articles , 1 standard article )

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  1. Avanzi, Benjamin; Taylor, Greg; Wong, Bernard; Yang, Xinda: On the modelling of multivariate counts with Cox processes and dependent shot noise intensities (2021)
  2. Bahraoui, Tarik; Kolev, Nikolai: New measure of the bivariate asymmetry (2021)
  3. Birge, John R.; Chavez-Bedoya, L.: Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (2021)
  4. Chaoubi, Ihsan; Cossette, Hélène; Marceau, Etienne; Robert, Christian Y.: Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs (2021)
  5. Chen, Yiqing; White, Toby; Yuen, Kam Chuen: Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times (2021)
  6. Eini, Esmat Jamshidi; Khaloozadeh, Hamid: The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution (2021)
  7. Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit: Elicitability and identifiability of set-valued measures of systemic risk (2021)
  8. Górecki, Jan; Hofert, Marius; Okhrin, Ostap: Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation (2021)
  9. Hashemi, Farzane; Naderi, Mehrdad; Jamalizadeh, Ahad; Bekker, Andriette: A flexible factor analysis based on the class of mean-mixture of normal distributions (2021)
  10. Hintz, Erik; Hofert, Marius; Lemieux, Christiane: Normal variance mixtures: distribution, density and parameter estimation (2021)
  11. Jiang, Jie; Li, Shengjie: On complexity of multistage stochastic programs under heavy tailed distributions (2021)
  12. Ji, Liuyan; Tan, Ken Seng; Yang, Fan: Tail dependence and heavy tailedness in extreme risks (2021)
  13. Kithinji, Martin M.; Mwita, Peter N.; Kube, Ananda O.: Adjusted extreme conditional quantile autoregression with application to risk measurement (2021)
  14. Koike, Takaaki; Hofert, Marius: Modality for scenario analysis and maximum likelihood allocation (2021)
  15. Li, Zihao; Luo, Ji; Yao, Jing: Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences (2021)
  16. Mihoci, Andrija; Härdle, Wolfgang Karl; Chen, Cathy Yi-Hsuan: TERES: tail event risk expectile shortfall (2021)
  17. Salazar Flores, Yuri; Díaz Hernández, Adán: Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach (2021)
  18. Tang, Qihe; Tong, Zhiwei; Yang, Yang: Large portfolio losses in a turbulent market (2021)
  19. Yang, Xinxin; Zheng, Xinghua; Chen, Jiaqi: Testing high-dimensional covariance matrices under the elliptical distribution and beyond (2021)
  20. Yin, Chuancun: Stochastic orderings of multivariate elliptical distributions (2021)

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