Statistics and Quantitative Risk Management for Banking and Insurance

  title={Statistics and Quantitative Risk Management for Banking and Insurance},
  author={P. Embrechts and M. Hofert},
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… Expand

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