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 668 articles , 1 standard article )

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  1. Cheung, K. C.; Yuen, F. L.: On the uncertainty of VaR of individual risk (2020)
  2. Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre: Ruin-based risk measures in discrete-time risk models (2020)
  3. de Amo, Enrique; Fernández-Sánchez, Juan; Úbeda-Flores, Manuel: Zero-sets of copulas (2020)
  4. de Gennaro Aquino, Luca; Bernard, Carole: Bounds on multi-asset derivatives via neural networks (2020)
  5. de Klerk, Etienne; Kuhn, Daniel; Postek, Krzysztof: Distributionally robust optimization with polynomial densities: theory, models and algorithms (2020)
  6. Diem, Christian; Pichler, Anton; Thurner, Stefan: What is the minimal systemic risk in financial exposure networks? (2020)
  7. 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)
  8. Egami, Masahiko; Kevkhishvili, Rusudan: Time reversal and last passage time of diffusions with applications to credit risk management (2020)
  9. Eling, Martin; Schnell, Werner: Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test (2020)
  10. Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu: Quantile-based risk sharing with heterogeneous beliefs (2020)
  11. Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander: Optimal risk-sharing across a network of insurance companies (2020)
  12. Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping: Copula-based Markov process (2020)
  13. Fernández-Sánchez, Juan; Úbeda-Flores, Manuel: A note on an idempotent transformation of absolutely continuous Archimedean copulas (2020)
  14. Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W.: Lorenz-generated bivariate Archimedean copulas (2020)
  15. Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey: On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (2020)
  16. Genest, Christian; Sabbagh, Magid: Extremal behavior of diagonal and Bertino copulas (2020)
  17. Giorgini, L. T.; Moon, W.; Wettlaufer, J. S.: Analytical survival analysis of the Ornstein-Uhlenbeck process (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. He, Yi; Hou, Yanxi; Peng, Liang; Shen, Haipeng: Inference for conditional value-at-risk of a predictive regression (2020)

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