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subject:"ARCH model"
subject:"Risikomaß"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivat"
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ARCH model
Risikomaß
Derivat
Risikomanagement
38
Risk management
38
Theorie
20
Theory
20
Credit risk
17
Kreditrisiko
17
Portfolio selection
15
Portfolio-Management
15
Risk measure
15
Financial services
11
Finanzdienstleistung
11
Risiko
10
Risk
10
Derivative
8
Measurement
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Messung
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Option pricing theory
6
Optionspreistheorie
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Hedging
5
risk management
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Basel Accord
4
Basler Akkord
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CVA
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credit risk
4
wrong-way risk
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Bank risk
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Kreditderivat
3
Multivariate Verteilung
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Brigo, Damiano
2
Albanese, Claudio
1
Amini, Hamed
1
Ararat, Çağin
1
Benedetti, Giuseppe
1
Bielecki, Tomasz R.
1
Brummelhuis, Raymond
1
Capponi, Agostino
1
Carmona, René
1
Centrone, Francesca
1
Cont, Rama
1
Cordóba, Antonio
1
Crépey, S.
1
Crépey, Stéphane
1
El Hajjaji, Omar
1
Galichon, Alfred
1
Gouriéroux, Christian
1
Grasselli, Matheus
1
Hamel, Andreas
1
Huang, Zhenzhen
1
Hughston, Lane P.
1
Jeanblanc, Monique
1
Jokhadze, Valeriane
1
Kato, Takashi
1
Kwok, Yue-Kuen
1
Lépinette, Emmanuel
1
Minca, Andreea
1
Monfort, Alain
1
Novak, Serguei Y.
1
Oertel, Frank
1
Pallavicini, Andrea
1
Papatheodorou, Vasileios
1
Quintanilla, Maite
1
Rosazza Gianin, Emanuela
1
Rudloff, Birgit
1
Rutkowski, Marek
1
Schmidt, Wolfgang M.
1
Seco, Luis
1
Stein, Harvey J.
1
Subbotin, Alexander
1
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
100
Journal of banking & finance
66
Risks : open access journal
60
European journal of operational research : EJOR
47
Energy economics
45
Journal of risk
42
Finance research letters
38
Economic modelling
28
International review of financial analysis
28
The North American journal of economics and finance : a journal of financial economics studies
28
Journal of risk management in financial institutions
27
The journal of operational risk
27
Quantitative finance
25
The journal of risk model validation
24
International review of economics & finance : IREF
22
SpringerLink / Bücher
21
Applied economics
20
Journal of risk and financial management : JRFM
19
The European journal of finance
19
Discussion paper / Tinbergen Institute
17
Journal of econometrics
14
Journal of empirical finance
14
Research in international business and finance
14
Finance and stochastics
13
International journal of forecasting
13
Journal of financial stability
13
Research paper series / Swiss Finance Institute
13
The journal of credit risk : published quarterly by Incisive Media
13
The journal of futures markets
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Agricultural finance review
12
Schriftenreihe Finanzmanagement
12
Working papers
12
Computational economics
11
International journal of risk assessment and management : IJRAM
11
Journal of international financial markets, institutions & money
11
Journal of mathematical finance
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
International journal of finance & economics : IJFE
10
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ECONIS (ZBW)
21
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1
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
2
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
3
On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
Saved in:
4
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
5
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
6
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
7
Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
Saved in:
8
Fixing risk neutral risk measures
Stein, Harvey J.
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
Saved in:
9
CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar
;
Subbotin, Alexander
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
Saved in:
10
Regulatory capital modeling for credit risk
Rutkowski, Marek
;
Tarca, Silvio
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
Saved in:
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