Quantitative Risk Management: Concepts, Techniques, and Tools

By Alexander J. McNeil, Rüdiger Frey, Paul Embrechts. 2005

479 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0732dff4770e6bc70537eed578383a6fe79d76e8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Solvency II: stability problems with the SCR aggregation formula (2008, background): “For further detail on copulas, especially in connection with risk management, see McNeil et al. (2005).”
Hawkes processes and their applications to finance: a review (2018, unknown): “Grothe et al. (2014) considered self-exciting Hawkes process role in a process exceeding above some threshold using POT, in the fashion of Chavez-Demoulin et al. (2005), Chavez-Demoulin and McGill (2012) and McNeil et al. (2005).”
Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “Several books have been published on operational risk quantification, see McNeil et al. (2005) and Panjer (2006). They stress the relevance of the Extreme Value Theory (EVT) in the LDA, and give an accurate overview of the mathematical methods currently available for this purpose.”
Towards estimating extremal serial dependence via the bootstrapped extremogram (2012, unknown): “For the special choice in the d = 1 case of A = B = (1, ∞), the extremogram reduces to the (upper) tail dependence coefficient between X 0 and X h that is often used in extreme value theory and quantitative risk management; see e.g. McNeil et al. [11].”
Portfolio optimization for student t and skewed t returns (2010, background): “The skewed t can also be described as a Normal mean-variance mixture distribution, where the mixture variable W is inverse gamma Ig( /2, /2); see McNeil et al. (2005).”
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (2007, background): “The economic justification of the Euler allocation principle was well discussed in McNeil et al. (2005) Section 6.3.3, addressing issues regarding the signals for performance measurement of Tasche (1999), and the ‘fairness considerations’ of Denault (2001).”
The Bivariate Normal Copula (2009, methodology): “This is not the case for Spearman’s rho, cf. (Hult & Lindskog 2002), which is given by: ̺S(̺) := 12 ∫ 1 0 ∫ 1 0 C(u, v; ̺) − uv du dv = 12 ∫ 1 0 ∫ 1 0 C(u, v; ̺) du dv − 3 = 6 π arcsin (̺ 2 ) (6.3) For proofs of (6.3) cf. (Kruskal 1958) or Section 5.3.2 of (Embrechts et al. 2005).”
Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions (2014, background): “Even though links between extreme-value theory and risk measures have already been investigated (Embrechts et al., 1997; Embrechts, 2000; McNeil et al., 2005), the estimation of risk measures is usually achieved in the statistical literature for fixed values of ˛ (for instance, Deme et al., 2013;…”
SHARP BOUNDS ON THE DISTRIBUTION OF TREATMENT EFFECTS AND THEIR STATISTICAL INFERENCE (2009, background): “More recently, Denuit, Genest, and Marceau (1999) extended the bounds for the sum to arbitrary dimensions and provided some applications in finance and risk management; see Embrechts, Hoeing, and Juri (2003) and McNeil, Frey, and Embrechts (2005) for more discussion and additional references.”
Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, unknown): “Cherubini, Luciano, and Vecchiato (2004) and McNeil, Frey, and Embrechts (2005) provide an overview of copulae for practical problems in finance and insurance.”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, methodology): “Over - Threshold fit ( EVT ) ; see McNeil et al .”
Frontiers in VaR forecasting and backtesting (2016, background): “…in the literature; see Kuester et al. (2006), Christoffersen (2009), Gourieroux and Jasiak (2010a) and Chen and Lu (2012) for previous surveys and Embrechts et al. (2000), Dowd (2007), McNeil et al. (2005), Jorion (2006), Danielsson (2011) and Christoffersen (2012) for comprehensive textbooks.”
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, background): “We borrow heavily from McNeil et al. (2005) in the following exposition.”