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subject:"Basler Akkord"
subject:"Kreditgeschäft"
~person:"Chen, An"
~person:"Pérez Amaral, Teodosio"
~subject:"3-Month variance futures"
~subject:"Portfolio-Management"
~type_genre:"Article in journal"
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Basler Akkord
Kreditgeschäft
3-Month variance futures
Portfolio-Management
Risikomanagement
12
Risk management
12
Portfolio selection
10
Risikomaß
6
Risk measure
6
Theorie
5
Theory
5
Basel Accord
3
Daily capital charges
3
Financial crisis
3
Finanzkrise
3
Global financial crisis
3
Welt
3
World
3
Forecasting model
2
Optimal portfolio
2
Optimizing strategy
2
Options
2
Prognoseverfahren
2
Risikomodell
2
Risk model
2
Solvency II regulation
2
Swap
2
Value at Risk
2
Value-at-Risk (VaR)
2
Violation penalties
2
Volatility
2
Volatilität
2
(Weighted) expected limited loss
1
12-Month variance futures
1
ARCH model
1
ARCH-Modell
1
Aggressive or conservative risk management strategies
1
Asset allocation
1
Bank risk
1
Bankrisiko
1
Basel II Accord
1
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7
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Article
10
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Article in journal
Aufsatz in Zeitschrift
10
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
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5
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1
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English
10
Author
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Chen, An
Pérez Amaral, Teodosio
Wang, Ruodu
15
Fabozzi, Frank J.
11
Hammoudeh, Shawkat
11
Mao, Tiantian
9
Alexander, Gordon J.
8
Rösch, Daniel
8
Baptista, Alexandre M.
7
Guillén, Montserrat
7
Jacobs, Michael <Jr.>
7
Janabi, Mazin A. M. al
7
Tan, Ken Seng
7
Yang, Fan
7
Bhansali, Vineer
6
Embrechts, Paul
6
Kakushadze, Zura
6
Martellini, Lionel
6
Mitra, Sovan
6
Righi, Marcelo Brutti
6
Rüschendorf, Ludger
6
Zhu, Shushang
6
Chen, Zhiping
5
Godin, Frédéric
5
Hamerle, Alfred
5
Li, Duan
5
McAleer, Michael
5
Mensi, Walid
5
Migueis, Marco
5
Ozdemir, Bogie
5
Regis, Luca
5
Satchell, Stephen
5
Schulte-Mattler, Hermann
5
Van Vuuren, Gary
5
Vanduffel, Steven
5
Wilkens, Sascha
5
Acharya, Viral V.
4
Arora, Anju
4
Bernard, Carole
4
Bolton, Patrick
4
Boonen, Tim J.
4
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The North American journal of economics and finance : a journal of financial economics studies
2
European journal of operational research : EJOR
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
International review of economics & finance : IREF
1
Journal of banking & finance
1
Journal of econometrics
1
Mathematical methods of operations research
1
Quantitative finance
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ECONIS (ZBW)
10
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1
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10
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10
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1
Optimal investment under partial information and robust VAR-type constraint
Bäuerle, Nicole
;
Chen, An
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014497281
Saved in:
2
Risk management under weighted limited expected loss
Chen, An
;
Nguyen, Thai
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 593-612
Persistent link: https://www.econbiz.de/10014552107
Saved in:
3
Optimal collective investment : The impact of sharing rules, management fees and guarantees
Chen, An
;
Nguyen, Thai
;
Rach, Manuel Matthias
- In:
Journal of banking & finance
123
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012662259
Saved in:
4
Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An
;
Nguyen, Thai
;
Stadje, Mitja
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 194-209
Persistent link: https://www.econbiz.de/10011825449
Saved in:
5
Risk management with multiple VaR constraints
Chen, An
;
Thai Huu Nguyen
;
Stadje, Mitja
- In:
Mathematical methods of operations research
88
(
2018
)
2
,
pp. 297-337
Persistent link: https://www.econbiz.de/10011935692
Saved in:
6
Optimal investment and consumption when allowing terminal debt
Chen, An
;
Vellekoop, Michel
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 385-397
Persistent link: https://www.econbiz.de/10011642230
Saved in:
7
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
8
Has the Basel Accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 250-265
Persistent link: https://www.econbiz.de/10010365769
Saved in:
9
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
- In:
International review of economics & finance : IREF
27
(
2013
),
pp. 97-111
Persistent link: https://www.econbiz.de/10009740861
Saved in:
10
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
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