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...

Identifying the relevant risk factors and their interdependence is central to understanding the risk exposures and vulnerabilities of a financial institution. It is needed for risk management, solvency assessment and stress testing. We assemble a unique dataset of risk factors relevant for...

The purpose of this study was to examine the effect of loan to deposit ratio (LDR), non-performing loans (NPL), and capital adequacy ratio (CAR) on return on assets (ROA) in banking companies listed on the Indonesian Institute for Corporate Governance (IICG) in 2014-2018. This study uses Good...