Quantitative risk management. Concepts, techniques and tools
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Publication:5253267
Extreme value theory; extremal stochastic processes (60G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Economic time series analysis (91B84) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Statistical methods; risk measures (91G70)
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(only showing first 100 items - show all)- The mathematics and statistics of quantitative risk management. Abstracts from the workshop held March 16--22, 2008.
- Extremal attractors of Liouville copulas
- Operator tail dependence of copulas
- A weak version of bivariate lack of memory property
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Forecast dominance testing via sign randomization
- Computation of market risk measures with stochastic liquidity horizon
- CMPH: a multivariate phase-type aggregate loss distribution
- Measuring herd behavior: properties and pitfalls
- Dependent defaults and losses with factor copula models
- Some copula inference procedures adapted to the presence of ties
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Hierarchical Archimax copulas
- Which eligible assets are compatible with comonotonic capital requirements?
- LLN-type approximations for large portfolio losses
- Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed.
- Remarks on composite Bernstein copula and its application to credit risk analysis
- A general approach to full-range tail dependence copulas
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
- On a bivariate copula with both upper and lower full-range tail dependence
- A limit distribution of credit portfolio losses with low default probabilities
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
- Spatial risk measures and applications to max-stable processes
- A subset multicanonical Monte Carlo method for simulating rare failure events
- Inventory pooling with environmental constraints using copulas
- New copulas based on general partitions-of-unity and their applications to risk management. II.
- From concentration profiles to concentration maps. New tools for the study of loss distributions
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
- Efficient simulation for dependent rare events with applications to extremes
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- A review on ambiguity in stochastic portfolio optimization
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- Stochastic distortion and its transformed copula
- Multivariate peaks over thresholds models
- Optimal rebalancing frequencies for multidimensional portfolios
- Expected shortfall: heuristics and certificates
- Detection of block-exchangeable structure in large-scale correlation matrices
- The dynamic and dependence of takaful and conventional stock return behaviours: evidence from the insurance industry in Saudi Arabia
- Why are FGM copulas successful? A simple explanation
- Forecaster's dilemma: extreme events and forecast evaluation
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Integrated structural approach to credit value adjustment
- Inference for conditional value-at-risk of a predictive regression
- Monte Carlo estimation of the density of the sum of dependent random variables
- A probabilistic view on semilinear copulas
- Distributional compatibility for change of measures
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Elicitability and identifiability of set-valued measures of systemic risk
- New measure of the bivariate asymmetry
- Large portfolio losses in a turbulent market
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Tail dependence and heavy tailedness in extreme risks
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- Multivariate matrix Mittag-Leffler distributions
- On the class of bivariate Archimax copulas under constraints
- Functional data clustering by projection into latent generalized hyperbolic subspaces
- New fat-tail normality test based on conditional second moments with applications to finance
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
- Simulation methods for robust risk assessment and the distorted mix approach
- Markov-modulated affine processes
- The truncated g-and-h distribution: estimation and application to loss modeling
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Copula-based measures of asymmetry between the lower and upper tail probabilities
- Nonlinear chance-constrained problems with applications to hydro scheduling
- Machine learning with kernels for portfolio valuation and risk management
- On the use of random forest for two-sample testing
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Smooth bootstrapping of copula functionals
- Estimating and backtesting risk under heavy tails
- Penalized quasi-likelihood estimation of generalized Pareto regression -- consistent identification of risk factors for extreme losses
- Insurance risk analysis of financial networks vulnerable to a shock
- Stochastic representation of FGM copulas using multivariate Bernoulli random variables
- Tails of bivariate stochastic recurrence equation with triangular matrices
- t-copula from the viewpoint of tail dependence matrices
- On attainability of Kendall's tau matrices and concordance signatures
- Predictability of cryptocurrency returns: evidence from robust tests
- A new concept of reliability system and applications in finance
- On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
- The location of a minimum variance squared distance functional
- An asymptotic study of systemic expected shortfall and marginal expected shortfall
- Choice of smoothing parameter in multivariate copula-based tail coefficients
- A generalized error distribution copula-based method for portfolios risk assessment
- Avoiding zero probability events when computing value at risk contributions
- Parametric measures of variability induced by risk measures
- Asymptotic analysis of portfolio diversification
- Fair estimation of capital risk allocation
- New copulas based on general partitions-of-unity. III: The continuous case
- On the asymptotic covariance of the multivariate empirical copula process
- Couplings in \(L^p\) distance of two Brownian motions and their Lévy area
- Model-free computation of risk contributions in credit portfolios
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- Quantile-based risk sharing with heterogeneous beliefs
- Partially censored posterior for robust and efficient risk evaluation
- What is the minimal systemic risk in financial exposure networks?
- ERM and QRM in life insurance. An actuarial primer
- Portfolio stress testing applied to commodity futures
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