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 677 articles , 1 standard article )

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  1. Hernández-Bastida, A.; Fernández-Sánchez, M. P.; Gómez-Déniz, E.: The net Bayes premium with dependence between the risk profiles (2009)
  2. Hurd, T. R.: Credit risk modeling using time-changed Brownian motion (2009)
  3. Ibragimov, Rustam: Copula-based characterizations for higher order Markov processes (2009)
  4. Kallenberg, Wilbert C. M.: Estimating copula densities, using model selection techniques (2009)
  5. Kolev, Nikolai; Paiva, Delhi: Copula-based regression models: a survey (2009)
  6. Lebedev, A. V.: Nonlinear prediction in max-autoregressive processes (2009)
  7. Li, Deyuan; Peng, Liang: Goodness-of-fit test for tail copulas modeled by elliptical copulas (2009)
  8. Lysenko, Natalia; Roy, Parthanil; Waeber, Rolf: Multivariate extremes of generalized skew-normal distributions (2009)
  9. Nikoloulopoulos, Aristidis K.; Joe, Harry; Li, Haijun: Extreme value properties of multivariate (t) copulas (2009)
  10. Nikoloulopoulos, Aristidis K.; Karlis, Dimitris: Finite normal mixture copulas for multivariate discrete data modeling (2009)
  11. Ouyang, Zisheng; Liao, Hui; Yang, Xiangqun: Modeling dependence based on mixture copulas and its application in risk management (2009)
  12. Pra, Paolo Dai; Runggaldier, Wolfgang J.; Sartori, Elena; Tolotti, Marco: Large portfolio losses: A dynamic contagion model (2009)
  13. Pra, Paolo Dai; Tolotti, Marco: Heterogeneous credit portfolios and the dynamics of the aggregate losses (2009)
  14. Primbs, James A.: Dynamic hedging of basket options under proportional transaction costs using receding horizon control (2009)
  15. Sheremet, Oleg; Lucas, André: Global loss diversification in the insurance sector (2009)
  16. So, Mike K. P.; Tse, Alex S. L.: Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets (2009)
  17. Tsukahara, Hideatsu: One-parameter families of distortion risk measures (2009)
  18. Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven: Bounds and approximations for sums of dependent log-elliptical random variables (2009)
  19. Yukalov, V. I.; Sornette, D.: Physics of risk and uncertainty in quantum decision making (2009)
  20. Arslan, Olcay: An alternative multivariate skew-slash distribution (2008)

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