Topic
Quantitative risk assessment software
About: Quantitative risk assessment software is a research topic. Over the lifetime, 441 publications have been published within this topic receiving 13756 citations.
Papers published on a yearly basis
Papers
Book•
16 Oct 2005
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this paper, where the authors describe the latest advances in the field, including market, credit and operational risk modelling.
Abstract: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
2,658 citations
Book•
1 Jan 2010
TL;DR: The book’s methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics, to satisfactorily address extreme outcomes and the dependence of key risk drivers.
Abstract: Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book’s methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives.
1,442 citations
Book•
1 May 1996
TL;DR: In this paper, the authors introduce Fault-Tree Construction and Fault Tree Construction, as well as other aspects of system analysis, such as human reliability, legal and regulatory risks, and uncertainty quantification.
Abstract: Preface. Basic Risk Concepts. Accident Mechanisms and Risk Management. Probabilistic Risk Assessment. Fault-Tree Construction. Qualitative Aspects of System Analysis. Quantification of Basic Events. Confidence Intervals. Quantitative Aspects of System Analysis. System Quantification for Dependent Events. Human Reliability. Uncertainty Quantification. Legal and Regulatory Risks. Index.
687 citations
Posted Content•
TL;DR: The most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management can be found in this article, where the authors provide the practical tools to solve real-world problems.
Abstract: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book’s methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
480 citations
TL;DR: In this paper, the authors explored conceptual, methodological, and empirical issues related to the development of a financial risk-tolerance assessment instrument and proposed a 13-item risk assessment instrument.
398 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2020 | 2 |
| 2019 | 2 |
| 2018 | 7 |
| 2017 | 17 |
| 2016 | 19 |
| 2015 | 33 |