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After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm in R is considered as an example from computational risk management practice. This algorithm is used to compute the largest quantile (worst value-at-risk) of the sum of the...
Persistent link: https://www.econbiz.de/10012292826
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....
Persistent link: https://www.econbiz.de/10014375303
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...
Persistent link: https://www.econbiz.de/10013057523
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...
Persistent link: https://www.econbiz.de/10012204312