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isPartOf:"The VaR implementation handbook"
subject:"Risk measure"
~isPartOf:"Computational economics"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Risikomodell"
~subject:"Value-at-Risk"
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Risk measure
Risikomodell
Value-at-Risk
Risk management
243
Risikomanagement
242
Theorie
171
Theory
171
Risiko
123
Risk
123
Portfolio selection
107
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107
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106
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67
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Mao, Tiantian
6
Dhaene, Jan
5
Cai, Jun
4
Cossette, Hélène
4
Hu, Taizhong
4
Li, Johnny Siu-Hang
4
Sherris, Michael
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Tan, Ken Seng
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Wang, Ruodu
4
Asimit, Alexandru V.
3
Cheung, Ka Chun
3
Chi, Yichun
3
Denuit, Michel
3
Gatzert, Nadine
3
Laeven, Roger J. A.
3
Ling, Chengxiu
3
Marceau, Etienne
3
Shevchenko, Pavel V.
3
Tang, Qihe
3
Yang, Fan
3
Badescu, Alexandru M.
2
Balbás de la Corte, Alejandro
2
Balbás, Beatriz
2
Boonen, Tim J.
2
Cui, Wei
2
Eling, Martin
2
Feng, Runhuan
2
Furman, Edward
2
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2
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2
Luciano, Elisa
2
Peng, Liang
2
Peng, Zuoxiang
2
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2
Regis, Luca
2
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2
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The VaR implementation handbook
Computational economics
Insurance / Mathematics & economics
Risks : open access journal
79
Journal of banking & finance
55
European journal of operational research : EJOR
48
Journal of risk
41
The journal of operational risk
36
Finance research letters
32
Economic modelling
29
Energy economics
27
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of risk management in financial institutions
24
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
24
The journal of risk model validation
24
Quantitative finance
22
International review of financial analysis
21
International review of economics & finance : IREF
16
Journal of risk and financial management : JRFM
16
Scandinavian actuarial journal
16
SpringerLink / Bücher
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Discussion paper / Tinbergen Institute
15
International journal of theoretical and applied finance
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Research paper series / Swiss Finance Institute
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The European journal of finance
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Applied economics
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Astin bulletin : the journal of the International Actuarial Association
13
Finance and stochastics
13
International journal of forecasting
13
Working papers
13
Journal of econometrics
12
Journal of empirical finance
12
Research in international business and finance
11
The journal of risk and insurance : the journal of the American Risk and Insurance Association
11
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Journal of mathematical finance
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
International journal of finance & economics : IJFE
9
Pacific-Basin finance journal
9
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ECONIS (ZBW)
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
3
From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Denuit, Michel
;
Robert, Christian Yann
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 46-59
Persistent link: https://www.econbiz.de/10013534509
Saved in:
4
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
5
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
6
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
7
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Denuit, Michel
;
Robert, Christian Yann
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 23-32
Persistent link: https://www.econbiz.de/10014446652
Saved in:
8
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
9
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
10
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
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