The following pages link to QRM (Q23304):
Displaying 50 items.
- Forecast dominance testing via sign randomization (Q1627567) (← links)
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (Q1627671) (← links)
- Bayesian model selection of regular vine copulas (Q1631599) (← links)
- Computation of market risk measures with stochastic liquidity horizon (Q1639562) (← links)
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042) (← links)
- Uniform in bandwidth consistency of nonparametric regression based on copula representation (Q1640948) (← links)
- CMPH: a multivariate phase-type aggregate loss distribution (Q1648668) (← links)
- Dependent defaults and losses with factor copula models (Q1648673) (← links)
- Checking default correlation and score correlation in a breakpoint model for rating classification (Q1650545) (← links)
- Some copula inference procedures adapted to the presence of ties (Q1654249) (← links)
- Impact of value-at-risk models on market stability (Q1655705) (← links)
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
- Estimation of correlations in portfolio credit risk models based on noisy security prices (Q1657453) (← links)
- Hybrid Clayton-Frank convolution-based bivariate Archimedean copula (Q1658208) (← links)
- EM algorithm in Gaussian copula with missing data (Q1659051) (← links)
- Managing risk with a realized copula parameter (Q1659106) (← links)
- On the computation of multivariate scenario sets for the skew-\(t\) and generalized hyperbolic families (Q1659114) (← links)
- Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
- Dynamic equicorrelation stochastic volatility (Q1659169) (← links)
- Clustering, classification, discriminant analysis, and dimension reduction via generalized hyperbolic mixtures (Q1659365) (← links)
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
- Hierarchical Archimax copulas (Q1661344) (← links)
- Probabilistic slope stability analysis by a copula-based sampling method (Q1663445) (← links)
- Which eligible assets are compatible with comonotonic capital requirements? (Q1667405) (← links)
- LLN-type approximations for large portfolio losses (Q1667412) (← links)
- Category-measure duality: convexity, midpoint convexity and Berz sublinearity (Q1675092) (← links)
- Book review of: A. J. McNeil et al., Quantitative risk management. Concepts, techniques and tools. Revised ed. (Q1675712) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- The effects of dependent beliefs on endogenous leverage (Q1680144) (← links)
- Remarks on composite Bernstein copula and its application to credit risk analysis (Q1681084) (← links)
- A general approach to full-range tail dependence copulas (Q1681085) (← links)
- A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks (Q1681191) (← links)
- On a bivariate copula with both upper and lower full-range tail dependence (Q1681193) (← links)
- A limit distribution of credit portfolio losses with low default probabilities (Q1681199) (← links)
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall (Q1689024) (← links)
- Spatial risk measures and applications to max-stable processes (Q1692083) (← links)
- A subset multicanonical Monte Carlo method for simulating rare failure events (Q1693882) (← links)
- Inventory pooling with environmental constraints using copulas (Q1694924) (← links)
- New copulas based on general partitions-of-unity and their applications to risk management. II. (Q1696998) (← links)
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (Q1697215) (← links)
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas (Q1702429) (← links)
- Tensor approximation of generalized correlated diffusions and functional copula operators (Q1703029) (← links)
- Efficient simulation for dependent rare events with applications to extremes (Q1703036) (← links)
- Additivity, subadditivity and linearity: automatic continuity and quantifier weakening (Q1705759) (← links)
- Rearrangement algorithm and maximum entropy (Q1708515) (← links)
- A review on ambiguity in stochastic portfolio optimization (Q1711083) (← links)
- Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors (Q1711567) (← links)
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (Q1716964) (← links)
- Extreme quantiles and tail index of a distribution based on kernel estimator (Q1726172) (← links)
