QRM
From MaRDI portal
Description
Provides functions/methods to accompany the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Ruediger Frey, and Paul Embrechts.
Cited in
(only showing first 100 items - show all)- Multivariate extremes of generalized skew-normal distributions
- Large portfolio losses: A dynamic contagion model
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Comparison of semiparametric and parametric methods for estimating copulas
- Bounds and approximations for sums of dependent log-elliptical random variables
- Global loss diversification in the insurance sector
- Stochastic comparisons of multivariate mixture models
- Panjer recursion versus FFT for compound distributions
- Credit portfolio risk and asset price cycles
- Nonlinear prediction in max-autoregressive processes
- A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
- Bounds for the sum of dependent risks having overlapping marginals
- Efficient estimation of copula-based semiparametric Markov models
- Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
- Extremal attractors of Liouville copulas
- Detecting changes in cross-sectional dependence in multivariate time series
- An \texttt{R} package for value at risk and expected shortfall
- A general control variate method for option pricing under Lévy processes
- MixedIndTests
- SenTinMixt
- mvPot
- AdaGAN
- ellipticalsymmetry
- covsim
- ElliptCopulas
- AZIAD
- poolr
- tlrmvnmvt
- Copula.Markov.survival
- Linkages
- RESTART
- AS 6
- A multi-objective approach to the cash management problem
- Operator tail dependence of copulas
- Uncertainty quantification for the family-wise error rate in multivariate copula models
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- TVICA -- time varying independent component analysis and its application to financial data
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Likelihood inference for generalized Pareto distribution
- Nonstationary modelling of tail dependence of two subjects' concentration
- Data-driven robust chance constrained problems: a mixture model approach
- Forecast dominance testing via sign randomization
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Bayesian model selection of regular vine copulas
- Computation of market risk measures with stochastic liquidity horizon
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- Uniform in bandwidth consistency of nonparametric regression based on copula representation
- CMPH: a multivariate phase-type aggregate loss distribution
- Dependent defaults and losses with factor copula models
- Checking default correlation and score correlation in a breakpoint model for rating classification
- faraway
- Some copula inference procedures adapted to the presence of ties
- Impact of value-at-risk models on market stability
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Hybrid Clayton-Frank convolution-based bivariate Archimedean copula
- EM algorithm in Gaussian copula with missing data
- Managing risk with a realized copula parameter
- On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
- Asymmetry in tail dependence in equity portfolios
- Dynamic equicorrelation stochastic volatility
- Clustering, classification, discriminant analysis, and dimension reduction via generalized hyperbolic mixtures
- CAViaR
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Hierarchical Archimax copulas
- Probabilistic slope stability analysis by a copula-based sampling method
- Which eligible assets are compatible with comonotonic capital requirements?
- LLN-type approximations for large portfolio losses
- mnormt
- Category-measure duality: convexity, midpoint convexity and Berz sublinearity
- Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed.
- Drawdown: from practice to theory and back again
- The effects of dependent beliefs on endogenous leverage
- 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
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- ROME
- 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.
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
- Tensor approximation of generalized correlated diffusions and functional copula operators
- Efficient simulation for dependent rare events with applications to extremes
- Additivity, subadditivity and linearity: automatic continuity and quantifier weakening
- Rearrangement algorithm and maximum entropy
- 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
- Extreme quantiles and tail index of a distribution based on kernel estimator
- Three skewed matrix variate distributions
- Conditional distributions of multivariate normal mean-variance mixtures
- Expectation of the truncated randomly weighted sums with dominatedly varying summands
- Quantile regression for linear models with autoregressive errors using EM algorithm
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