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subject:"Basel Accord"
type_genre:"Government document"
~person:"Cai, Jun"
~person:"Scaillet, Olivier"
~subject:"Credit risk"
~subject:"Financial services"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk management"
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Basel Accord
Credit risk
Financial services
Risikomanagement
14
Risk management
14
Risikomaß
11
Risk measure
11
Theorie
10
Theory
10
Risiko
7
Risk
7
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7
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Cai, Jun
Scaillet, Olivier
Li, Jianping
13
Zhu, Xiaoqian
12
Jacobs, Michael <Jr.>
9
Rösch, Daniel
9
Arora, Anju
7
Prorokowski, Lukasz
7
Broll, Udo
6
Hurlin, Christophe
6
McConnell, Patrick
6
Ozdemir, Bogie
6
Schuermann, Til
6
Andreeva, Galina
5
Bryce, Cormac
5
Crook, Jonathan N.
5
Curti, Filippo
5
Embrechts, Paul
5
Gatzert, Nadine
5
Harymawan, Iman
5
Härdle, Wolfgang
5
Kumar, Muneesh
5
Lucas, André
5
Migueis, Marco
5
Summer, Martin
5
Van Vuuren, Gary
5
Wang, Ruodu
5
Webb, Robert
5
Welzel, Peter
5
Ashby, Simon
4
Cerezetti, Fernando
4
Eling, Martin
4
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4
Hamerle, Alfred
4
Hölscher, Reinhold
4
Klingeler, Rainer
4
McAleer, Michael
4
Mitra, Sovan
4
Montesi, Giuseppe
4
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4
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ASTIN bulletin : the journal of the International Actuarial Association
1
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Journal of empirical finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Scandinavian actuarial journal
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
7
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1
Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
Saved in:
2
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:
3
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
4
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:
5
Optimal reinsurance with regulatory initial capital and default risk
Cai, Jun
;
Lemieux, Christiane
;
Liu, Fangda
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 13-24
Persistent link: https://www.econbiz.de/10010402747
Saved in:
6
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
7
Sensitivity analysis of var and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
-
2003
Persistent link: https://www.econbiz.de/10001812434
Saved in:
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