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Statistics and Quantitative Risk Management for Banking and Insurance
Company: Annual Review of Statistics and Its Application
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: January
Resource Link: Click here to open
Download Count: 0
View Count: 1828
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-28-2013
Publisher: Administrator
Summary
As an emerging field of applied research, Quantitative Risk Management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research in the intersection of statistics and quantitative risk management. Topics treated include the use of risk measures in regulation, including their statistical estimation and aggregation properties. An extensive literature provides the statistically interested reader with an entrance to this exciting field.
(volume 1)
This document may be downloaded without charge from: (acccessed 2013-07-27)
http://www.math.ethz.ch/~baltes/ftp/qrm_stat_review.pdf; also see http://bit.ly/1e4bl6i
Author(s)
Embrechts, Paul Sign in to follow this author
Hofert, Marius Sign in to follow this author
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