Preface

This is a note based on the book “Quantitative Risk Management: Concepts, Techniques and Tools” by Alexander J. McNeil, Rüdiger Frey and Paul Embrechts, published by Princeton University Press in 2015 (revised 2nd edition, 1st edition 2005) and the book “The Quantitative Risk Management Exercise Book” by Marius Hofert and Rüdiger Frey and Alexander J. McNeil, published by Princeton University Press in 2020.

The note contains theoretical definitions and R codes based on QRM Tutorial by Marius Hofert.