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)

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
Nonparametric Identification of Copula Structures
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
Value-at-Risk model for hazardous material transportation
Optimal threshold determination based on the mean excess plot
Optimality of general reinsurance contracts under CTE risk measure
An alternative multivariate skew-slash distribution
Threshold copulas and positive dependence
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
Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
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
Credit risk modeling using time-changed Brownian motion
A discussion on mean excess plots
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
Modelling total tail dependence along diagonals
Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
The copula information criteria
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
Trade-off between robust risk measurement and market principles
Dynamics of dependence properties for lifetimes influenced by unobservable environmental factors
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
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
Category-measure duality: convexity, midpoint convexity and Berz sublinearity
Additivity, subadditivity and linearity: automatic continuity and quantifier weakening
A review on the univariate skew \(t\)-distributions
Weak limits for exploratory plots in the analysis of extremes
Sign-based test for mean vector in high-dimensional and sparse settings
Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
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
Better confidence intervals for importance sampling
Elicitability and identifiability of set-valued measures of systemic risk
Precise large deviations of aggregate claims in a size-dependent renewal risk model
Measures of serial extremal dependence and their estimation
Invariant dependence structure under univariate truncation: the high-dimensional case
Generalized logistic models and its orthant tail dependence
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
Estimation of global sensitivity indices for models with dependent variables
Exponential family techniques for the lognormal left tail
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
Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools.
Convex risk functionals: representation and applications
On the Haezendonck-Goovaerts risk measure for extreme risks
Empirical likelihood intervals for conditional Value-at-Risk in ARCH/GARCH models
Copulas: Tales and facts (with discussion)
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

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