Statistics and Quantitative Risk Management for Banking and Insurance

Paul Embrechts A · Marius Hofert

66 citations0/0 files storedAnnual Review of Statistics and Its Application

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

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 treated include the use of risk measures in regulation, including their statistical estimation and aggregation properties. An extensive literature provides the statistically interested reader with an entrance to this exciting field.

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1921Risk, Uncertainty and Profit 1999Coherent Measures of Risk 1999An Introduction to Copulas 1962College Admissions and the Stability of Marriage 1989Maxmin expected utility with non-unique prior 2009Robust Optimization 2000Value At Risk: The New Benchmark for Managing Financial Risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools

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