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person:"Scandizzo, Sergio"
subject:"Bankrisiko"
~person:"Abdymomunov, Azamat"
~person:"Cohen, Ruben D."
~person:"Mao, Tiantian"
~person:"Rüschendorf, Ludger"
~subject:"Risikomaß"
~type_genre:"Article in journal"
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Bankrisiko
Risikomaß
Risikomanagement
28
Risk management
28
Risk measure
19
Risiko
17
Risk
17
Theorie
17
Theory
17
Portfolio selection
13
Portfolio-Management
13
Measurement
11
Messung
11
Operational risk
9
Operationelles Risiko
9
Bank risk
8
Financial services
8
Finanzdienstleistung
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Statistical distribution
7
Statistische Verteilung
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Basel Accord
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Value-at-Risk
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Outliers
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Capital income
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ARCH model
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24
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Article in journal
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2
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English
24
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Scandizzo, Sergio
Abdymomunov, Azamat
Cohen, Ruben D.
Mao, Tiantian
Rüschendorf, Ludger
Wang, Ruodu
16
Li, Jianping
14
Embrechts, Paul
12
Zhu, Xiaoqian
11
Hammoudeh, Shawkat
10
Cai, Jun
8
McConnell, Patrick
8
Broll, Udo
7
Janabi, Mazin A. M. al
7
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Curti, Filippo
6
Hurlin, Christophe
6
Karmakar, Madhusudan
6
Mensi, Walid
6
Mitic, Peter
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
Brandtner, Mario
5
Cheung, Ka Chun
5
Ghorbel, Ahmed
5
Hassani, Bertrand
5
Härdle, Wolfgang
5
Jacobs, Michael <Jr.>
5
Kumar, Dilip
5
Liu, Fangda
5
McAleer, Michael
5
Migueis, Marco
5
Polanski, Arnold
5
Pérignon, Christophe
5
Tiwari, Aviral Kumar
5
Wang, Gang-Jin
5
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Insurance / Mathematics & economics
8
Scandinavian actuarial journal
3
The journal of operational risk
3
Journal of financial services research : JFSR
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Finance and stochastics
1
Journal / The Capco Institute : journal of financial transformation
1
Journal of banking & finance
1
Journal of empirical finance
1
Journal of financial services research
1
Mathematics of operations research
1
Risks : open access journal
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ECONIS (ZBW)
24
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1
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:
2
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
3
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
4
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
5
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
6
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:
7
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
8
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:
9
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:
10
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
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