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person:"Scandizzo, Sergio"
subject:"Bankrisiko"
~person:"Abdymomunov, Azamat"
~person:"Brandtner, Mario"
~person:"Cohen, Ruben D."
~person:"Rüschendorf, Ludger"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
~type_genre:"Article in journal"
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Bankrisiko
Risikomaß
Statistische Verteilung
Risikomanagement
23
Risk management
23
Risk measure
14
Theorie
14
Theory
14
Risiko
11
Risk
11
Operational risk
9
Operationelles Risiko
9
Portfolio selection
9
Portfolio-Management
9
Measurement
8
Messung
8
Bank risk
7
Financial services
7
Finanzdienstleistung
7
Basel Accord
6
Basler Akkord
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Value-at-Risk
4
Dependence uncertainty
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Financial crisis
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Finanzkrise
3
Loss
3
Spectral risk measures
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Verlust
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Bank
2
Credit risk
2
Factor analysis
2
Faktorenanalyse
2
Kreditrisiko
2
Positive dependence
2
Reinsurance
2
Risk aggregation
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Rückversicherung
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Statistical distribution
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advanced measurement approach (AMA)
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English
19
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Scandizzo, Sergio
Abdymomunov, Azamat
Brandtner, Mario
Cohen, Ruben D.
Rüschendorf, Ludger
Wang, Ruodu
16
Li, Jianping
14
Embrechts, Paul
12
Zhu, Xiaoqian
11
Hammoudeh, Shawkat
10
Mao, Tiantian
10
Cai, Jun
8
McConnell, Patrick
8
Broll, Udo
7
Janabi, Mazin A. M. al
7
Mitic, Peter
7
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Curti, Filippo
6
Furman, Edward
6
Hurlin, Christophe
6
Härdle, Wolfgang
6
Jacobs, Michael <Jr.>
6
Karmakar, Madhusudan
6
Mensi, Walid
6
Mitra, Sovan
6
Stoja, Evarist
6
Tan, Ken Seng
6
Yang, Fan
6
Al-Yahyaee, Khamis Hamed
5
Alexander, Gordon J.
5
Bernard, Carole
5
Boonen, Tim J.
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Cossette, Hélène
5
Dias, Alexandra
5
Ghorbel, Ahmed
5
Hassani, Bertrand
5
Kumar, Dilip
5
Liu, Fangda
5
McAleer, Michael
5
Migueis, Marco
5
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Insurance / Mathematics & economics
3
Journal of financial services research : JFSR
3
The journal of operational risk
3
Journal of banking & finance
2
Scandinavian actuarial journal
2
Finance and stochastics
1
Journal / The Capco Institute : journal of financial transformation
1
Journal of empirical finance
1
Journal of financial services research
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Quantitative finance
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Risks : open access journal
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ECONIS (ZBW)
19
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1
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
2
Quantifying and stress testing operational risk with peer banks' data
Abdymomunov, Azamat
;
Curti, Filippo
- In:
Journal of financial services research
57
(
2020
)
3
,
pp. 287-313
Persistent link: https://www.econbiz.de/10012228510
Saved in:
3
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:
4
An investigation of cyber loss data and its links to operational risk
Cohen, Ruben D.
;
Humphries, Jonathan
;
Veau, Sabrina
; …
- In:
The journal of operational risk
14
(
2019
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012132742
Saved in:
5
Operational risk and risk management quality : evidence from u.s. bank holding companies
Abdymomunov, Azamat
;
Mihov, Atanas
- In:
Journal of financial services research : JFSR
56
(
2019
)
1
,
pp. 73-93
Persistent link: https://www.econbiz.de/10012301325
Saved in:
6
Analysis of risk bounds in partially specified additive factor models
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 115-121
Persistent link: https://www.econbiz.de/10012058839
Saved in:
7
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:
8
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
9
The issues with the standardized measurement approach and a potential future direction for operational risk capital modeling
Cohen, Ruben D.
- In:
The journal of operational risk
12
(
2017
)
3
,
pp. 17-28
Persistent link: https://www.econbiz.de/10011848850
Saved in:
10
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
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