• QRM

  • Referenced in 763 articles [sw11358]
  • Provides R-language Code to Examine Quantitative Risk Management Concepts. This package is designed ... accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger ... primarily a textbook for courses in quantitative risk management (QRM) aimed at advanced undergraduate ... secondary function as a reference text for risk professionals interested in a clear and concise...
  • CAViaR

  • Referenced in 191 articles [sw04424]
  • CAViaR: Conditional autoregressive value at risk by regression quantiles. Value at risk ... standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile ... current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution...
  • cmprsk

  • Referenced in 156 articles [sw11073]
  • package cmprsk: Subdistribution Analysis of Competing Risks. Estimation, testing and regression modeling of subdistribution functions ... competing risks, as described in Gray (1988), A class of K-sample tests for comparing ... cumulative incidence of a competing risk, Ann. Stat. 16:1141-1154, and Fine ... model for the subdistribution of a competing risk, JASA...
  • AdaGrad

  • Referenced in 166 articles [sw22202]
  • give several efficient algorithms for empirical risk minimization problems with common and important regularization functions...
  • quantreg

  • Referenced in 162 articles [sw04356]
  • Portfolio selection methods based on expected shortfall risk are also included...
  • spatstat

  • Referenced in 143 articles [sw04429]
  • pair correlation function, kernel smoothed intensity, relative risk estimation with cross-validated bandwidth selection, mark...
  • timereg

  • Referenced in 88 articles [sw08068]
  • proportional odds model, fast cumulative residuals, excess risk models and more. Flexible competing risks regression ... stage frailty modelling. PLS for the additive risk model. Lasso in ahaz package...
  • RiskMetrics

  • Referenced in 138 articles [sw37538]
  • techniques and data to measure market risks in portfolios of fixed income instruments, equities, foreign...
  • CreditRisk+

  • Referenced in 44 articles [sw31697]
  • CreditRisk+ A Credit Risk Management Framework. CREDITRISK+ is based on a portfolio approach to modelling ... credit default risk that takes into account information relating to size and maturity ... exposure and the credit quality and systematic risk of an obligor. The CREDITRISK+ Model ... statistical model of credit default risk that makes no assumptions about the causes of default...
  • mboost

  • Referenced in 69 articles [sw07331]
  • gradient descent algorithm (boosting) for optimizing general risk functions utilizing component-wise (penalised) least squares...
  • Dowd

  • Referenced in 32 articles [sw25415]
  • Kevin Dowd’s Book Measuring Market Risk. ’Kevin Dowd’s’ book Measuring Market Risk ... widely read book in the area of risk measurement by students and practitioners alike ... parametric methods for measurement of market risk as well as backtesting risk measurement methods...
  • UQLab

  • Referenced in 43 articles [sw19740]
  • Prof. Bruno Sudret founded the Chair of Risk, Safety and Uncertainty Quantification at ETH Zurich...
  • RAMAS Risk Calc

  • Referenced in 20 articles [sw09590]
  • Risk Calc supports probability bounds analysis, standard fuzzy arithmetic, and classical interval analysis. Its applications ... those of Monte Carlo packages such as @Risk or Crystal Ball, but Risk Calc does ... dependency relationships when empirical data are lacking. Risk Calc makes new methods available for conducting ... distribution-free or nonparametric risk analyses. You decide what information or assumptions should be used...
  • StFinMetrics

  • Referenced in 38 articles [sw29976]
  • change-point detection; modelling extreme values and risk measures. The book contains many examples...
  • relibpls8

  • Referenced in 34 articles [sw37142]
  • Willett WC. Correction of logistic regression relative risk estimates and confidence intervals for random within...
  • mstate

  • Referenced in 33 articles [sw04376]
  • with Aalen-Johansen or simulation in competing risks and multi-state models...
  • bmrm

  • Referenced in 23 articles [sw11016]
  • bmrm: Bundle Methods for Regularized Risk Minimization Package. Bundle methods for minimization of convex ... convex risk under L1 or L2 regularization. Implements the algorithm proposed...
  • fitdistrplus

  • Referenced in 32 articles [sw15776]
  • estimates. Detailed examples are given in food risk assessment, ecotoxicology and insurance contexts...
  • cmprskQR

  • Referenced in 19 articles [sw11076]
  • cmprskQR: Analysis of Competing Risks Using Quantile Regressions. Estimation, testing and regression modeling of subdistribution ... functions in competing risks using quantile regressions, as described in Peng and Fine ... Competing risks quantile regression, JASA...