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subject:"Basel Accord"
subject:"Theory"
~accessRights:"restricted"
~person:"Brandtner, Mario"
~person:"Embrechts, Paul"
~person:"Mitic, Peter"
~subject:"Finanzdienstleistung"
~subject:"Projektmanagement"
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Basel Accord
Theory
Finanzdienstleistung
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Risk management
19
Risikomanagement
18
Risikomaß
16
Risk measure
16
Theorie
15
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loss distribution
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operational risk
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robustness
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expected shortfall
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16
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Brandtner, Mario
Embrechts, Paul
Mitic, Peter
Wang, Ruodu
15
Li, Jianping
12
Zhu, Xiaoqian
10
Tan, Ken Seng
9
Boonen, Tim J.
8
Wu, Desheng Dash
8
Broll, Udo
7
Olson, David L.
7
Curti, Filippo
6
Dionne, Georges
6
Härdle, Wolfgang
6
Migueis, Marco
6
Righi, Marcelo Brutti
6
Asimit, Alexandru V.
5
Bernard, Carole
5
Cai, Jun
5
Chen, An
5
Chi, Yichun
5
Gatzert, Nadine
5
Hurlin, Christophe
5
Liu, Shan
5
Mao, Tiantian
5
Prigent, Jean-Luc
5
Rösch, Daniel
5
Rüschendorf, Ludger
5
Tang, Qihe
5
Tsanakas, Andreas
5
Wernz, Johannes
5
Zopounidis, Constantin
5
Allan, Neil
4
Andreeva, Galina
4
Bloss, Michael
4
Bryce, Cormac
4
Cheng, T. C. E.
4
Cossette, Hélène
4
Crook, Jonathan N.
4
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The journal of operational risk
4
Operations research
2
The journal of risk model validation
2
Finance and stochastics
1
Journal of banking & finance
1
Journal of financial services research : JFSR
1
Journal of risk
1
Quantitative finance
1
Risks : open access journal
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Scandinavian actuarial journal
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The journal of network theory in finance
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ECONIS (ZBW)
16
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1
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:
2
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
Correlations in operational risk stress testing : use and abuse
Mitic, Peter
- In:
The journal of operational risk
17
(
2022
)
2
,
pp. 1-39
Persistent link: https://www.econbiz.de/10014546262
Saved in:
4
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
5
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
6
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:
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
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
9
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
10
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
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