QRM - MaRDI portal

swMATH11358CRANQRMMaRDI QIDQ23304FDOQ23304

Provides R-Language Code to Examine Quantitative Risk Management Concepts

Last update: 15 February 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.4-31

Official website: http://cran.r-project.org/web/packages/QRM/index.html

Source code repository: https://github.com/cran/QRM

Cited In (only showing first 100 items - show all)

Quantifying the risk using copulae with nonparametric marginals
Theoretical and empirical estimates of mean-variance portfolio sensitivity
\(t\)-copula from the viewpoint of tail dependence matrices
Automated variable selection in vector multiplicative error models
Risk models based on time series for count random variables
A nonparametric approach to calculating value-at-risk
PORT Hill and Moment Estimators for Heavy-Tailed Models
Distorted mix method for constructing copulas with tail dependence
CDO pricing with nested Archimedean copulas
Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
Markov regime-switching quantile regression models and financial contagion detection
Financial risk modelling and portfolio optimization with R
Performance measurement of pension strategies: a case study of Danish life-cycle products
ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
Absolutely Continuous Copulas with Given Diagonal Sections
Value-at-Risk model for hazardous material transportation
A New Characterization of Bivariate Copulas
Optimal threshold determination based on the mean excess plot
Optimality of general reinsurance contracts under CTE risk measure
Diversification limit of quantiles under dependence uncertainty
Detecting tail behavior: mean excess plots with confidence bounds
Variable annuity pricing, valuation, and risk management: a survey
Dynamic bivariate normal copula
Baseline value specification and sensitivity analysis in multiattribute project portfolio selection
Optimal reinsurance under VaR and CTE risk measures
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Rev. ed.
On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
Bernoulli and tail-dependence compatibility
Scenario aggregation method for portfolio expectile optimization
Tail dependence measure for examining financial extreme co-movements
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Stochastic comparisons of multivariate mixture models
Estimation of linear composite quantile regression using EM algorithm
On the relationship between entropy, demand uncertainty, and expected loss
A discussion on mean excess plots
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
Modelling total tail dependence along diagonals
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
Trade-off between robust risk measurement and market principles
Quantifying mortality risk in small defined-benefit pension schemes
Bayesian approaches for analyzing earthquake catastrophic risk
Ordering Gini indexes of multivariate elliptical risks
Take it to the limit: innovative CVaR applications to extreme credit risk measurement
Joint weak hazard rate order under non-symmetric copulas
New copulas based on general partitions-of-unity and their applications to risk management
Copulas with given values on a horizontal and a vertical section
Constructing copulas with given diagonal and opposite diagonal sections
Uncertainty quantification in complex simulation models using ensemble copula coupling
Dynamic CDO term structure modeling
Spatial risk measures and applications to max-stable processes
Large portfolio losses: A dynamic contagion model
Probabilistic slope stability analysis by a copula-based sampling method
Modeling frailty-correlated defaults using many macroeconomic covariates
Category-measure duality: convexity, midpoint convexity and Berz sublinearity
Editorial: Special issue on extremes in finance
Additivity, subadditivity and linearity: automatic continuity and quantifier weakening
A review on the univariate skew \(t\)-distributions
A flexible and tractable class of one-factor copulas
Modeling spot price dependence in Australian electricity markets with applications to risk management
Modelling dependence
Weak limits for exploratory plots in the analysis of extremes
Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
Asset proportions in optimal portfolios with dependent default risks
Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed.
A Monte Carlo-based method for the estimation of lower and upper probabilities of events using infinite random sets of indexable type
Tail risk of multivariate regular variation
Copulas, diagonals, and tail dependence
Better confidence intervals for importance sampling
Elicitability and identifiability of set-valued measures of systemic risk
Measures of serial extremal dependence and their estimation
Inference for conditional value-at-risk of a predictive regression
Quantile regression for linear models with autoregressive errors using EM algorithm
Sharp bounds on the distribution of treatment effects and their statistical inference
Four theorems and a financial crisis
A mixture of coalesced generalized hyperbolic distributions
Testing for changes in Kendall's tau
Invariant dependence structure under univariate truncation
On multivariate extensions of the conditional value-at-risk measure
SCOMDY models based on pair-copula constructions with application to exchange rates
Composite Bernstein copulas
On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
Estimation of global sensitivity indices for models with dependent variables
Extreme quantiles and tail index of a distribution based on kernel estimator
Exponential family techniques for the lognormal left tail
Pricing and hedging of portfolio credit derivatives with interacting default intensities
Nonparametric inference on Lévy measures and copulas
COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS
Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
Model-free computation of risk contributions in credit portfolios
OPPOSITE DIAGONAL SECTIONS OF QUASI-COPULAS AND COPULAS
A general approach to full-range tail dependence copulas
Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools.
Convex risk functionals: representation and applications
Asymptotic analysis of the loss given default in the presence of multivariate regular variation
On the Haezendonck-Goovaerts risk measure for extreme risks
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
Modelling co-movements and tail dependency in the international stock market via copulae
Copulas: Tales and facts (with discussion)

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