Quantitative Risk Management: Concepts, Techniques and Tools Revised edition

By Alexander J. McNeil, Rüdiger Frey, Paul Embrechts. 2015

578 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/744e5018fa29576a49bb1447060c0fab683913e0

How researchers see this paper

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

1. Fotios Petropoulos
2. Rob J Hyndman
3. Nikolaos Kourentzes
4. Konstantinos Nikolopoulos
5. Evangelos Spiliotis
6. Spyros Makridakis
7. Vassilios Assimakopoulos
8. Christoph Bergmeir

Citations in the corpus

• Seven Proofs for the Subadditivity of Expected Shortfall (2015, background): “The reader is referred to [17] for recent extensive debates on “VaR versus ES in banking regulation" as well as [29] for broader background material.”
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns (2018, background): “[1] indicate that a pair of daily stock returns is well described by a bivariate Student-t distribution in many cases.”
• Forecasting: theory and practice (2020, background): “However, while a basic coverage of the topic is available in most time series and risk management manuals (e.g., Shumway and Stoffer, 2017; McNeil et al., 2015), the profound implications of fat tails are rarely taken into consideration, and this can generate substantial errors in forecasts.”