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 668 articles , 1 standard article )

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  1. Gomes, M. Ivette; Fraga Alves, M. Isabel; Araújo Santos, Paulo: PORT hill and moment estimators for heavy-tailed models (2008)
  2. Kallenberg, Wilbert C. M.: Modelling dependence (2008)
  3. Landsman, Zinoviy; Nešlehová, Johanna: Stein’s lemma for elliptical random vectors (2008)
  4. Lebedev, A. V.: Statistical analysis of first-order MARMA processes (2008)
  5. Liu, Shuangzhe; Heyde, Chris C.: On estimation in conditional heteroskedastic time series models under non-normal distributions (2008)
  6. McNeil, Alexander J.: Sampling nested Archimedean copulas (2008)
  7. Mundt, André: Dynamic risk measures under model uncertainty (2008)
  8. Pfeifer, Dietmar; Strassburger, Doreen: Solvency II: stability problem with the SCR aggregation formula (2008)
  9. Rheinberger, Klaus; Summer, Martin: Credit portfolio risk and asset price cycles (2008)
  10. Schmidt, Thorsten; Novikov, Alexander: A structural model with unobserved default boundary (2008)
  11. Sun, Jiafeng; Frees, Edward W.; Rosenberg, Marjorie A.: Heavy-tailed longitudinal data modeling using copulas (2008)
  12. Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R.: Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008)
  13. Zhang, Ming-Heng: Modelling total tail dependence along diagonals (2008)
  14. Alink, Stan; Löwe, Matthias; Wüthrich, Mario V.: Diversification for general copula dependence (2007)
  15. Chen, Li; Filipović, Damir: Credit derivatives in an affine framework (2007)
  16. Chiragiev, Arthur; Landsman, Zinoviy: Multivariate Pareto portfolios: TCE-based capital allocation and dividend differences (2007)
  17. Durante, Fabrizio; Kolesárova, Anna; Mesiar, Radko; Sempi, Carlo: Copulas with given values on a horizontal and a vertical section (2007)
  18. Durante, Fabrizio; Kolesárová, Anna; Mesiar, Radko; Sempi, Carlo: Copulas with given diagonal sections: novel constructions and applications (2007)
  19. Herzog, Florian; Dondi, Gabriel; Geering, Hans P.: Stochastic model predictive control and portfolio optimization (2007)
  20. Herzog, Florian; Dondi, Gabriel; Keel, Simon; Schumani, Lorenz M.; Geering, Hans P.: Solving ALM problems via sequential stochastic programming (2007)

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