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isPartOf:"The VaR implementation handbook"
subject:"Risk measure"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Multivariate distribution"
~subject:"Value-at-Risk"
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Risk measure
Multivariate distribution
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Risk management
222
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161
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116
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116
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Cossette, Hélène
7
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The VaR implementation handbook
Insurance / Mathematics & economics
Journal of banking & finance
55
Risks : open access journal
54
Journal of risk
43
European journal of operational research : EJOR
39
Economic modelling
29
The journal of operational risk
28
Energy economics
27
Finance research letters
27
The North American journal of economics and finance : a journal of financial economics studies
23
Journal of risk management in financial institutions
22
International review of financial analysis
21
The journal of risk model validation
21
International journal of theoretical and applied finance
17
Journal of risk and financial management : JRFM
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Quantitative finance
17
The European journal of finance
16
Applied economics
15
Discussion paper / Tinbergen Institute
14
International review of economics & finance : IREF
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Finance and stochastics
13
Journal of econometrics
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Research paper series / Swiss Finance Institute
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SpringerLink / Bücher
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International journal of forecasting
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11
Research in international business and finance
11
Astin bulletin : the journal of the International Actuarial Association
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
The journal of credit risk : published quarterly by Incisive Media
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
Journal of mathematical finance
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Pacific-Basin finance journal
9
Scandinavian actuarial journal
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1
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
2
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:
3
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:
4
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:
5
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
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6
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
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7
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
Saved in:
8
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
9
Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
Saved in:
10
On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.
;
Mandjes, Michel
;
Spreij, P. J. C.
; …
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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