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subject:"ARCH model"
~isPartOf:"The journal of operational risk"
~subject:"Statistical distribution"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"Value at risk"
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ARCH model
Statistical distribution
Volatilität
Risikomaß
47
Risk measure
47
Operational risk
37
Operationelles Risiko
37
Risikomanagement
27
Risk management
27
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20
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17
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value-at-risk
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Guégan, Dominique
2
Hassani, Bertrand K.
2
Mitic, Peter
2
Arunachalam, Viswanathan
1
Bee, Marco
1
Benito, Sonia
1
Brown, Maurice L.
1
Carrillo Menéndez, Santiago
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Danesi, Ivan Luciano
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1
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The journal of operational risk
Insurance / Mathematics & economics
82
Journal of banking & finance
57
Finance research letters
52
Energy economics
50
International journal of forecasting
44
Journal of risk
42
The North American journal of economics and finance : a journal of financial economics studies
42
Journal of empirical finance
36
Economic modelling
35
Applied economics
34
International review of financial analysis
33
The journal of risk model validation
33
Risks : open access journal
31
Journal of risk and financial management : JRFM
27
Journal of econometrics
24
International review of economics & finance : IREF
23
Journal of forecasting
21
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Computational economics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
The European journal of finance
18
Journal of financial econometrics
15
Journal of international financial markets, institutions & money
15
Pacific-Basin finance journal
15
Research in international business and finance
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
European journal of operational research : EJOR
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of mathematical finance
13
Scandinavian actuarial journal
13
Applied economics letters
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of economics and financial issues : IJEFI
9
International journal of theoretical and applied finance
9
Journal of risk management in financial institutions
9
International journal of finance & economics : IJFE
8
Journal of international money and finance
8
Review of quantitative finance and accounting
8
Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
20
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1
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco
;
Hambuckers, Julien
- In:
The journal of operational risk
17
(
2022
)
1
,
pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
Saved in:
2
Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang
;
Gong, Yishan
;
Liu, Jiajun
- In:
The journal of operational risk
18
(
2023
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10014490082
Saved in:
3
Estimating the correlation between operational risk loss categories over different time horizons
Brown, Maurice L.
;
Ly, Cheng
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014490177
Saved in:
4
Credible value-at-risk
Mitic, Peter
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
5
Extreme value theory for operational risk in insurance : a case study
Vyskočil, Michal
;
Koudelka, Jiří
- In:
The journal of operational risk
16
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013177451
Saved in:
6
Maximum likelihood estimation error an operational value-at-risk stability
Larsen, Paul
- In:
The journal of operational risk
14
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012052373
Saved in:
7
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
Saved in:
8
A review of the state of the art in quantifying operational risk
Benito, Sonia
;
Martín, Carmen López
- In:
The journal of operational risk
13
(
2018
)
4
,
pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
Saved in:
9
Bayesian operational risk models
Figini, Silvia
;
Gao, Lijun
;
Giudici, Paolo
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10011298859
Saved in:
10
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
Hannah, Lincoln
;
Puza, Borek
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011298869
Saved in:
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