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 622 articles , 1 standard article )

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  1. Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; Schmidt, Thorsten: Fair estimation of capital risk allocation (2020)
  2. Bonnefont, Michel; Juillet, Nicolas: Couplings in (L^p) distance of two Brownian motions and their Lévy area (2020)
  3. Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K.: Partially censored posterior for robust and efficient risk evaluation (2020)
  4. Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne: On sums of two counter-monotonic risks (2020)
  5. Cheung, K. C.; Yuen, F. L.: On the uncertainty of VaR of individual risk (2020)
  6. Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre: Ruin-based risk measures in discrete-time risk models (2020)
  7. de Klerk, Etienne; Kuhn, Daniel; Postek, Krzysztof: Distributionally robust optimization with polynomial densities: theory, models and algorithms (2020)
  8. Diem, Christian; Pichler, Anton; Thurner, Stefan: What is the minimal systemic risk in financial exposure networks? (2020)
  9. Egami, Masahiko; Kevkhishvili, Rusudan: Time reversal and last passage time of diffusions with applications to credit risk management (2020)
  10. Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu: Quantile-based risk sharing with heterogeneous beliefs (2020)
  11. Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping: Copula-based Markov process (2020)
  12. Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey: On log-normal convolutions: an analytical-numerical method with applications to economic capital determination (2020)
  13. Heinen, Andréas; Valdesogo, Alfonso: Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions (2020)
  14. Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina: Multivariate geometric tail- and range-value-at-risk (2020)
  15. Hou, Yanxi; Li, Deyuan; Liu, Aiai; Peng, Liang: Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas (2020)
  16. Lehtomaa, Jaakko; Resnick, Sidney I.: Asymptotic independence and support detection techniques for heavy-tailed multivariate data (2020)
  17. Leitao, Álvaro; Ortiz-Gracia, Luis: Model-free computation of risk contributions in credit portfolios (2020)
  18. Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu: Convex risk functionals: representation and applications (2020)
  19. Liu, Wei; Li, Ying Qiu: Sign-based test for mean vector in high-dimensional and sparse settings (2020)
  20. Mao, Tiantian; Wang, Ruodu: Risk aversion in regulatory capital principles (2020)

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