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subject:"Basel Accord"
~person:"Mao, Tiantian"
~person:"Wang, Ruodu"
~subject:"Risiko"
~type_genre:"Article in journal"
~type_genre:"Conference proceedings"
~type_genre:"Lehrbuch"
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Search: subject_exact:"Risk management"
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Basel Accord
Risiko
Risikomanagement
26
Risk management
26
Risikomaß
25
Risk
25
Risk measure
25
Theorie
22
Theory
22
Portfolio selection
19
Portfolio-Management
19
Measurement
16
Messung
16
Value-at-Risk
7
Basler Akkord
6
Statistical distribution
6
Statistische Verteilung
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Ausreißer
5
Outliers
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Aggregation
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Bank risk
4
Bankrisiko
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Financial services
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Finanzdienstleistung
4
expected shortfall
4
robustness
4
Risk aggregation
3
Robust statistics
3
Robustes Verfahren
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risk aggregation
3
Basel III
2
Capital income
2
Choquet integral
2
Credit risk
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Dependence uncertainty
2
Estimation theory
2
Expected Shortfall
2
Expected shortfall
2
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26
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Article in journal
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26
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
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English
26
Author
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Mao, Tiantian
Wang, Ruodu
Li, Jianping
9
Embrechts, Paul
8
Cai, Jun
7
Jacobs, Michael <Jr.>
7
Li, Johnny Siu-Hang
7
McAleer, Michael
7
McConnell, Patrick
7
Qazi, Abroon
7
Righi, Marcelo Brutti
7
Rösch, Daniel
7
Rüschendorf, Ludger
7
Sherris, Michael
7
Zhu, Xiaoqian
7
Balbás de la Corte, Alejandro
6
Boonen, Tim J.
6
Guillén, Montserrat
6
Kakushadze, Zura
6
Mitra, Sovan
6
Puccetti, Giovanni
6
Van Vuuren, Gary
6
Asimit, Alexandru V.
5
Brandtner, Mario
5
Broll, Udo
5
Chen, Zhiping
5
Cossette, Hélène
5
Furman, Edward
5
Gatzert, Nadine
5
Ghadge, Abhijeet
5
Migueis, Marco
5
Naeem, Muhammad Abubakr
5
Prorokowski, Lukasz
5
Quigley, John
5
Rashid, Abdul
5
Rosazza Gianin, Emanuela
5
Shevchenko, Pavel V.
5
Stoja, Evarist
5
Tan, Ken Seng
5
Turvey, Calum Greig
5
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Insurance / Mathematics & economics
10
Finance and stochastics
3
Mathematics of operations research
3
Operations research
2
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Astin bulletin : the journal of the International Actuarial Association
1
Journal of banking & finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Risks : open access journal
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ECONIS (ZBW)
26
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1
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
Saved in:
2
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:
3
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:
4
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
5
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:
6
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:
7
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
8
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:
9
An axiomatic foundation for the expected shortfall
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Management science : journal of the Institute for …
67
(
2021
)
3
,
pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
Saved in:
10
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
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