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

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

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

Mixtures of generalized hyperbolic distributions and mixtures of skew-\(t\) distributions for model-based clustering with incomplete data
On the use of random forest for two-sample testing
A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
AZIAD
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Test of symmetry based on copula function
On the limit of conditional Spearman's rho under the common factor model
Copula-based grouped risk aggregation under mixed operation.
Dependence in a background risk model
On the independence between risk profiles in the compound collective risk actuarial model
On tests of radial symmetry for bivariate copulas
Parameter estimation for pair-copula constructions
A general control variate method for option pricing under Lévy processes
The net Bayes premium with dependence between the risk profiles
Randomly weighted sums of subexponential random variables with application to capital allocation
Three skewed matrix variate distributions
Dependence of exchangeable residual lifetimes subject to failure
Bayesian tail risk interdependence using quantile regression
Extreme quantile estimation for \(\beta\)-mixing time series and applications
Mixture of D-vine copulas for modeling dependence
Optimal stopping with dynamic variational preferences
Hierarchical Archimax copulas
Asymptotics of joint maxima for discontinuous random variables
Asymptotics in a time-dependent renewal risk model with stochastic return
Second order regular variation and conditional tail expectation of multiple risks
Factor copula models for item response data
Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
Inference in multivariate Archimedean copula models
Conditional copula simulation for systemic risk stress testing
Modeling extreme negative returns using marked renewal Hawkes processes
Collective risk model: Poisson–Lindley and exponential distributions for Bayes premium and operational risk
Conditional quantiles and tail dependence
Multivariate extremes of generalized skew-normal distributions
Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Multivariate Archimax copulas
Tests of symmetry for bivariate copulas
Nonparametric estimation of the conditional tail copula
Assessing and Modeling Asymmetry in Bivariate Continuous Data
Estimators based on Kendall's tau in multivariate copula models
Uncertainty quantification for the family-wise error rate in multivariate copula models
Precise large deviations for random sums of END real-valued random variables with consistent variation
Sampling nested Archimedean copulas
Risk aggregation with dependence uncertainty
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
Probability equivalent level of value at risk and higher-order expected shortfalls
Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
On a reduced form credit risk model with common shock and regime switching
Asymptotic independence for unimodal densities
A note on generalized inverses
Copula based hierarchical risk aggregation through sample reordering
Selecting and estimating regular vine copulae and application to financial returns
An R Package for Value at Risk and Expected Shortfall
BFpack
Extremal attractors of Liouville copulas
Estimation in exponential families on permutations
Likelihood inference for Archimedean copulas in high dimensions under known margins
Supermigrative semi-copulas and triangular norms
On the invariant properties of notions of positive dependence and copulas under increasing transformations
Extreme value properties of multivariate \(t\) copulas
The multivariate tail-inflated normal distribution and its application in finance
A review of copula models for economic time series
Beyond simplified pair-copula constructions
Efficiently sampling nested Archimedean copulas
A mixture of generalized hyperbolic distributions
Title not available (Why is that?)
Detecting changes in cross-sectional dependence in multivariate time series
High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
Time-dependent copulas
Finite normal mixture copulas for multivariate discrete data modeling
The effect of aggregation on extremes from asymptotically independent light-tailed risks
COMPARISON OF ESTIMATION METHODS FOR VALUE-AT-RISK
On testing equality of pairwise rank correlations in a multivariate random vector
On the simplified pair-copula construction -- simply useful or too simplistic?
Comparison of semiparametric and parametric methods for estimating copulas
Bounds on total economic capital: the DNB case study
Efficient simulation for dependent rare events with applications to extremes
Model-based clustering and classification with non-normal mixture distributions
Likelihood-based risk estimation for variance-gamma models
A goodness-of-fit test for bivariate extreme-value copulas
On rank correlation measures for non-continuous random variables
Robust portfolio asset allocation and risk measures
Efficient estimation of copula-based semiparametric Markov models
From Archimedean to Liouville copulas
Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
Quantifying the risk using copulae with nonparametric marginals
Theoretical and empirical estimates of mean-variance portfolio sensitivity
Stochastic orderings of multivariate elliptical distributions
Sequential Bayesian model selection of regular vine copulas
PORT Hill and Moment Estimators for Heavy-Tailed Models
SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE
Nonparametric Identification of Copula Structures
The Copula Information Criteria
Title not available (Why is that?)
Markov regime-switching quantile regression models and financial contagion detection
ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
Maximum likelihood parameter estimation for the multivariate skew-slash distribution
Absolutely Continuous Copulas with Given Diagonal Sections

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