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person:"Scandizzo, Sergio"
subject:"Bankrisiko"
~person:"Abdymomunov, Azamat"
~person:"Cohen, Ruben D."
~person:"Rüschendorf, Ludger"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk management"
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Bankrisiko
Risikomaß
Statistische Verteilung
Risikomanagement
18
Risk management
18
Operational risk
9
Operationelles Risiko
9
Risk measure
9
Theorie
9
Theory
9
Bank risk
7
Financial services
7
Finanzdienstleistung
7
Risiko
7
Risk
7
Basel Accord
5
Basler Akkord
5
Portfolio selection
5
Portfolio-Management
5
Measurement
4
Messung
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Dependence uncertainty
3
Financial crisis
3
Finanzkrise
3
Loss
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Verlust
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Bank
2
Credit risk
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Factor analysis
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Faktorenanalyse
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Kreditrisiko
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Positive dependence
2
Risk aggregation
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Statistical distribution
2
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advanced measurement approach (AMA)
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capital model
2
dimensional analysis
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expected shortfall
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Undetermined
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14
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Article in journal
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14
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1
Graue Literatur
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1
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1
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English
14
Author
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Scandizzo, Sergio
Abdymomunov, Azamat
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
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Curti, Filippo
6
Furman, Edward
6
Hurlin, Christophe
6
Härdle, Wolfgang
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
Cossette, Hélène
5
Dias, Alexandra
5
Ghorbel, Ahmed
5
Hassani, Bertrand
5
Jacobs, Michael <Jr.>
5
Kumar, Dilip
5
Liu, Fangda
5
McAleer, Michael
5
Migueis, Marco
5
Polanski, Arnold
5
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The journal of operational risk
3
Insurance / Mathematics & economics
2
Journal of financial services research : JFSR
2
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
Risks : open access journal
1
Scandinavian actuarial journal
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ECONIS (ZBW)
14
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14
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
An assessment of operational loss data and its implications for risk capital modeling
Cohen, Ruben D.
- In:
The journal of operational risk
11
(
2016
)
3
,
pp. 71-95
Persistent link: https://www.econbiz.de/10013177162
Saved in:
9
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
10
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
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