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subject:"Basler Akkord"
subject:"Kreditgeschäft"
~accessRights:"restricted"
~person:"McNeil, Alexander J."
~person:"Wang, Ruodu"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Basler Akkord
Kreditgeschäft
Theorie
Risikomanagement
17
Risk management
17
Risikomaß
16
Risk measure
16
Theory
16
Risiko
14
Risk
14
Portfolio selection
12
Portfolio-Management
12
Measurement
9
Messung
9
Value-at-Risk
6
Basel Accord
5
expected shortfall
4
robustness
4
Bank risk
3
Bankrisiko
3
Expected shortfall
3
Forecasting model
3
Prognoseverfahren
3
Risk aggregation
3
risk aggregation
3
Aggregation
2
Backtesting
2
Basel III
2
Dependence uncertainty
2
Expected Shortfall
2
Financial services
2
Finanzdienstleistung
2
Pareto optimality
2
Robust statistics
2
Robustes Verfahren
2
Statistical distribution
2
Statistische Verteilung
2
risk sharing
2
value at risk
2
value-at-risk
2
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Article
16
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Aufsatz in Zeitschrift
Article in journal
16
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English
16
Author
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McNeil, Alexander J.
Wang, Ruodu
Tan, Ken Seng
9
Boonen, Tim J.
7
Broll, Udo
7
Embrechts, Paul
6
Asimit, Alexandru V.
5
Bernard, Carole
5
Cai, Jun
5
Chi, Yichun
5
Dionne, Georges
5
Gatzert, Nadine
5
Hurlin, Christophe
5
Mao, Tiantian
5
Migueis, Marco
5
Mitic, Peter
5
Rösch, Daniel
5
Rüschendorf, Ludger
5
Tang, Qihe
5
Brandtner, Mario
4
Chen, An
4
Cossette, Hélène
4
Denuit, Michel
4
Fabozzi, Frank J.
4
Furman, Edward
4
Liu, Fangda
4
Liu, Haiyan
4
Marceau, Etienne
4
Righi, Marcelo Brutti
4
Tsanakas, Andreas
4
Vanduffel, Steven
4
Welzel, Peter
4
Zhang, Yiying
4
Arreola-Risa, Antonio
3
Bauer, Daniel
3
Bäuerle, Nicole
3
Chen, Zhiping
3
Cheng, T. C. E.
3
Cheung, Ka Chun
3
Cohen, Ruben D.
3
Curti, Filippo
3
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Insurance / Mathematics & economics
3
Journal of banking & finance
3
Finance and stochastics
2
Mathematics of operations research
2
Operations research
2
Astin bulletin : the journal of the International Actuarial Association
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Risks : open access journal
1
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ECONIS (ZBW)
16
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1
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:
2
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:
3
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:
4
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:
5
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:
6
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
7
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
8
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
9
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:
10
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
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