can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …

important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

Many forms of the ARIMA (auto-regressive integrated moving average) modeling method are used across risk management and … exercises. This paper aims to show common mistakes that occur throughout risk management from the perspective of model …

This paper proposes a new framework to reduce the variance and uncertainty in the risk assessment process. Today, this … and a simulation of the risk assessment process, and the improvement in reducing the variance is significant. …

; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen … Gaussian distribution (NIG distribution); realized moments; stylized facts of financial time series; value at risk … jeweils eine Value at Risk-Berechnung. Im ersten Kapitel wird die Verteilung von Renditen europäischer Staatsanleihen …