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subject:"ARCH model"
subject:"Risikomaß"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Financial services"
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ARCH model
Risikomaß
Financial services
Risikomanagement
38
Risk management
38
Theorie
20
Theory
20
Credit risk
17
Kreditrisiko
17
Portfolio selection
15
Portfolio-Management
15
Risk measure
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Finanzdienstleistung
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Option pricing theory
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Optionspreistheorie
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risk management
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CVA
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credit risk
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wrong-way risk
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Kreditderivat
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Multivariate Verteilung
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24
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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
Centrone, Francesca
1
Cont, Rama
1
Cordóba, Antonio
1
Crépey, S.
1
Felbert, Alexander von
1
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1
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1
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1
Huang, Zhenzhen
1
Jeanblanc, Monique
1
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1
Karpathopoulos, Nikolaos
1
Kato, Takashi
1
Krehbiel, Timothy L.
1
Kwok, Yue-Kuen
1
Li, Hui
1
Li, Weiping
1
Lépinette, Emmanuel
1
Minca, Andreea
1
Monfort, Alain
1
Novak, Serguei Y.
1
Oertel, Frank
1
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1
Pallavicini, Andrea
1
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1
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1
Rosazza Gianin, Emanuela
1
Rudloff, Birgit
1
Rutkowski, Marek
1
Scherer, Matthias
1
Schmidt, Wolfgang M.
1
Schulz, Thorsten
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Published in...
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
96
Journal of risk management in financial institutions
84
Risks : open access journal
80
Journal of banking & finance
75
The journal of operational risk
75
European journal of operational research : EJOR
53
Journal of risk
49
Finance research letters
43
Journal of risk and financial management : JRFM
37
International review of financial analysis
31
Economic modelling
30
The journal of risk model validation
30
Energy economics
29
Quantitative finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
SpringerLink / Bücher
22
Discussion paper / Tinbergen Institute
20
International review of economics & finance : IREF
19
Applied economics
17
Research paper series / Swiss Finance Institute
17
The European journal of finance
16
International journal of forecasting
15
International journal of risk assessment and management : IJRAM
15
Wiley finance series
15
Journal of securities operations & custody
14
The journal of credit risk : published quarterly by Incisive Media
14
Computational economics
13
Finance and stochastics
13
International journal of economics and financial issues : IJEFI
13
International journal of finance & economics : IJFE
13
Journal of econometrics
13
Journal of empirical finance
13
Journal of financial stability
13
NBER working paper series
13
Research in international business and finance
13
Journal of international financial markets, institutions & money
12
Pacific-Basin finance journal
12
Working papers
12
Applied economics letters
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ECONIS (ZBW)
24
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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
Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin
;
Karpathopoulos, Nikolaos
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Counterparty credit risk in a clearing network
Felbert, Alexander von
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012496786
Saved in:
8
An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping
;
Krehbiel, Timothy L.
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
Saved in:
9
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics
Vrins, Frédéric
- In:
International journal of theoretical and applied finance
20
(
2017
)
7
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011763941
Saved in:
10
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
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