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person:"Cornett, Marcia Millon"
subject:"Theory"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Scandinavian actuarial journal"
~isPartOf:"The journal of operational risk"
~language:"eng"
~person:"Aroda, Pavan"
~person:"Brandtner, Mario"
~person:"Embrechts, Paul"
~person:"Pedersen, Lasse Heje"
~subject:"Hedging"
~subject:"Measurement"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Cornett, Marcia Millon
Aroda, Pavan
Brandtner, Mario
Embrechts, Paul
Pedersen, Lasse Heje
Breuer, Thomas
4
Cohen, Ruben D.
3
Dias, Alexandra
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Fernando, Chitru S.
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Journal of banking & finance
Scandinavian actuarial journal
The journal of operational risk
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ECONIS (ZBW)
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1
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
2
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
3
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
4
Application of the convolution operator for scenario integration with loss data in operational risk modeling
Aroda, Pavan
;
Guergachi, Aziz
;
Huang, Huaxiong
- In:
The journal of operational risk
10
(
2015
)
4
,
pp. 23-44
Persistent link: https://www.econbiz.de/10011442585
Saved in:
5
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
Saved in:
6
Quantitative models for operational risk : extremes, dependence and aggregation
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Nešlehová, Johanna
- In:
Journal of banking & finance
30
(
2006
)
10
,
pp. 2635-2658
Persistent link: https://www.econbiz.de/10003376395
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