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subject:"Banking supervision"
type_genre:"Handbuch"
~person:"Mao, Tiantian"
~person:"Mitic, Peter"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
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Banking supervision
Risikomaß
Risikomanagement
17
Risk management
17
Risk measure
15
Theorie
13
Theory
13
Risiko
11
Risk
11
Statistical distribution
9
Statistische Verteilung
9
Portfolio selection
8
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8
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7
Messung
7
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4
Outliers
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loss distribution
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Bank risk
3
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operational risk
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value-at-risk (VaR)
3
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Capital income
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Reinsurance
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15
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Mao, Tiantian
Mitic, Peter
Wang, Ruodu
17
Embrechts, Paul
11
Hammoudeh, Shawkat
9
Cai, Jun
8
Schneider, Andreas
8
Janabi, Mazin A. M. al
7
Li, Jianping
7
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Rüschendorf, Ludger
7
Boonen, Tim J.
6
Härdle, Wolfgang
6
Karmakar, Madhusudan
6
Stoja, Evarist
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Bernard, Carole
5
Brandtner, Mario
5
Burghof, Hans-Peter
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Daníelsson, Jón
5
Ghorbel, Ahmed
5
Hannemann, Ralf
5
Kumar, Dilip
5
Liu, Fangda
5
McAleer, Michael
5
Mensi, Walid
5
Polanski, Arnold
5
Yang, Fan
5
Zhu, Xiaoqian
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
Alexander, Gordon J.
4
Asimit, Alexandru V.
4
Balbás de la Corte, Alejandro
4
Ceretta, Paulo Sergio
4
Chen, Zhiping
4
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Insurance / Mathematics & economics
6
Scandinavian actuarial journal
2
The journal of operational risk
2
The journal of risk model validation
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Mathematics of operations research
1
The journal of network theory in finance
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ECONIS (ZBW)
15
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1
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
2
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:
3
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
4
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
5
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
6
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
7
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
8
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
9
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:
10
A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter
;
Bloxham, Nicholas
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
Saved in:
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