The purpose and novelty of this article is to investigate the extent to which artificial intelligence chatbot ChatGPT can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the form of questions and answers, and analyze the responses....

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 at the intersection of statistics and QRM. Topics...

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...