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source:"econis"
~isPartOf:"Agricultural finance review"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of banking & finance"
~subject:"Multivariate Verteilung"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Multivariate Verteilung
Theorie
Risikomaß
265
Risk measure
265
Theory
113
Portfolio selection
111
Portfolio-Management
111
Risikomanagement
77
Risk management
77
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66
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Statistical distribution
43
Statistische Verteilung
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Estimation
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Systemrisiko
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World
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Multivariate distribution
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126
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Brandtner, Mario
3
Daníelsson, Jón
3
Dias, Alexandra
3
Weiß, Gregor
3
Acerbi, Carlo
2
Armstrong, John
2
Bernard, Carole
2
Brigo, Damiano
2
Campbell, Rachel
2
Cui, Xueting
2
Huisman, Ronald
2
Koedijk, Kees
2
Lazar, Emese
2
McNeil, Alexander J.
2
Paterlini, Sandra
2
Puccetti, Giovanni
2
Tasche, Dirk
2
Wang, Ruodu
2
Zarangas, Leonidas P.
2
Zhang, Ning
2
Zhu, Shushang
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Ahelegbey, Daniel Felix
1
Alcock, Jamie
1
Alexander, Carol
1
Allen, Linda
1
Anand, Abhinav
1
Aramonte, Sirio
1
Argyropoulos, Christos
1
Bali, Turan G.
1
Barnhill, Theodore M.
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Bedendo, Mascia
1
Bellini, Fabio
1
Berger, Theo
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Bhattacharyya, Malay
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Biffi, Paola
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Bonaccolto, Giovanni
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Agricultural finance review
International review of financial analysis
Journal of banking & finance
Insurance / Mathematics & economics
178
European journal of operational research : EJOR
89
Risks : open access journal
72
Journal of risk
46
Economic modelling
40
Quantitative finance
39
Finance research letters
38
Journal of empirical finance
37
International journal of forecasting
35
Applied economics
32
Discussion paper / Tinbergen Institute
31
Journal of risk and financial management : JRFM
30
International journal of theoretical and applied finance
27
SFB 649 discussion paper
27
Energy economics
26
Computational economics
25
Finance and stochastics
25
Scandinavian actuarial journal
25
The European journal of finance
25
The journal of risk model validation
24
The North American journal of economics and finance : a journal of financial economics studies
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
22
Journal of econometrics
21
Journal of economic dynamics & control
21
Journal of forecasting
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Operations research letters
20
The journal of operational risk
20
Astin bulletin : the journal of the International Actuarial Association
19
Mathematics of operations research
19
Operations research
18
SpringerLink / Bücher
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Applied economics letters
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of mathematical finance
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Journal of risk management in financial institutions
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ECONIS (ZBW)
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
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2
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
Saved in:
3
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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4
Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Borer, Daniel
;
Perera, Devmali
;
Fitriya Fauzi
;
Chau …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014469916
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5
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano
;
Nave Pineda, Juan M.
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
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6
An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning
;
Su, Xiaoman
;
Qi, Shuyuan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
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7
Systemic risk of commodity markets : a dynamic factor copula approach
Ouyang, Ruolan
;
Chen, Xiang
;
Fang, Yi
;
Zhao, Yang
- In:
International review of financial analysis
82
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013431229
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8
A non-probabilistic approach to efficient portfolios
Sekine, Eiko
;
Yamanaka, Kazuo
- In:
International review of financial analysis
83
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013461662
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9
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
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10
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
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