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Statistics and Quantitative Risk Management for Banking and Insurance
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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.
Paul Embrechts and Marius Hofert - Personal Name
NONE
Banking And Finance
English
1-28
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