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Search: subject_exact:"CVaR (Conditional value at risk)"
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Risikomaß
32
Risk measure
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14
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Strobel, Frank
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Applied economics letters
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
111
Finance research letters
107
Risks : open access journal
106
International review of financial analysis
74
Economic modelling
71
Energy economics
71
The North American journal of economics and finance : a journal of financial economics studies
67
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67
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International journal of forecasting
59
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55
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Journal of risk and financial management : JRFM
52
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47
The journal of operational risk
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International journal of theoretical and applied finance
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42
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International review of economics & finance : IREF
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36
Research in international business and finance
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Journal of economic dynamics & control
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SFB 649 discussion paper
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Journal of international financial markets, institutions & money
32
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Scandinavian actuarial journal
31
Finance and stochastics
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Pacific-Basin finance journal
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.
;
Lai, Catherine C.
;
Xiao, Ling
- In:
Applied economics letters
29
(
2022
)
6
,
pp. 567-571
Persistent link: https://www.econbiz.de/10012873353
Saved in:
2
Assessing systemic risk of Islamic banks during the COVID-19 pandemic crisis
Fatnassi, Ibrahim
;
Hammami, Yacine
- In:
Applied economics letters
31
(
2024
)
11
,
pp. 1037-1044
Persistent link: https://www.econbiz.de/10014557987
Saved in:
3
Dependence structure and risk spillover among nonferrous metal futures : a vine copula approach
Ouyang, Ruolan
;
Ma, Jinming
;
Xiao, Xiaoxia
- In:
Applied economics letters
30
(
2023
)
9
,
pp. 1253-1260
Persistent link: https://www.econbiz.de/10014303863
Saved in:
4
Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Huang, Wei-Qiang
;
Zhang, Jing
;
Liu, Peipei
- In:
Applied economics letters
30
(
2023
)
10
,
pp. 1318-1326
Persistent link: https://www.econbiz.de/10014304235
Saved in:
5
Computing optimal portfolios of multi-assets with tail risk : the case of bitcoin
Popova, Ivilina
;
Yau, Jot
- In:
Applied economics letters
30
(
2023
)
12
,
pp. 1618-1626
Persistent link: https://www.econbiz.de/10014304579
Saved in:
6
(Simple) ΔCoVaR bounds
Mercadier, Mathieu
;
Strobel, Frank
- In:
Applied economics letters
30
(
2023
)
14
,
pp. 1874-1881
Persistent link: https://www.econbiz.de/10014305372
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7
Period value at risk and its estimation by Monte Carlo simulation
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Applied economics letters
29
(
2022
)
18
,
pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
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8
Systemically important financial institutions in China : from view of tail risk spillover network
Yang, Xin
;
Chen, Shan
;
Liu, Zhifeng
;
Yang, Xiaoguang
; …
- In:
Applied economics letters
29
(
2022
)
19
,
pp. 1833-1839
Persistent link: https://www.econbiz.de/10013412314
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9
An alternative Z-score measure for downside bank insolvency risk
Lepetit, Lætitia
;
Strobel, Frank
;
Tran Thu Ha
- In:
Applied economics letters
28
(
2021
)
2
,
pp. 137-142
Persistent link: https://www.econbiz.de/10012415101
Saved in:
10
Systemic risk of China's commercial banks during financial turmoils in 2010-2020 : a MIDAS-QR based CoVaR approach
Liu, Shuting
;
Xu, Qifa
;
Jiang, Cuixia
- In:
Applied economics letters
28
(
2021
)
18
,
pp. 1600-1609
Persistent link: https://www.econbiz.de/10012626719
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