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subject:"Derivative"
subject:"Theorie"
~person:"Brandtner, Mario"
~person:"Račev, Svetlozar T."
~type:"article"
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Derivative
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Brandtner, Mario
Račev, Svetlozar T.
Broll, Udo
26
Fabozzi, Frank J.
18
Wang, Ruodu
15
Embrechts, Paul
13
Tan, Ken Seng
11
Wahl, Jack E.
10
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8
Boonen, Tim J.
8
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8
Mao, Tiantian
8
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7
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7
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7
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7
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7
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7
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7
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6
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Chen, Zhiping
6
Chi, Yichun
6
Daníelsson, Jón
6
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6
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6
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6
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6
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6
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6
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6
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6
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6
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6
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5
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5
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Handbook of heavy tailed distributions in finance
2
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1
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1
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1
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ECONIS (ZBW)
12
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1
A natural disasters index
Mahanama, Thilini
;
Shirvani, Abootaleb
;
Račev, Svetlozar T.
- In:
Environmental economics and policy studies : the …
24
(
2022
)
2
,
pp. 263-284
Persistent link: https://www.econbiz.de/10013199401
Saved in:
2
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:
3
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:
4
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:
5
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
6
Tempered stable models for Islamic finance asset management
Bekri, Mahmoud
;
Kim, Young Shin
;
Račev, Svetlozar T.
- In:
International journal of Islamic and Middle Eastern …
7
(
2014
)
1
,
pp. 37-60
Persistent link: https://www.econbiz.de/10011335135
Saved in:
7
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Saved in:
8
Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
Saved in:
9
Stable ETL optimal portfolios and extreme risk management
Račev, Svetlozar T.
;
Martin, R. Douglas
;
Racheva, Borjana
- In:
Risk assessment : decisions in banking and finance
,
(pp. 235-262)
.
2008
Persistent link: https://www.econbiz.de/10003781774
Saved in:
10
Quantifying risk in the electricity business : a RAROC-based approach
Prokopczuk, Marcel
;
Račev, Svetlozar T.
;
Schindlmayr, Gero
- In:
Energy economics
29
(
2007
)
5
,
pp. 1033-1049
Persistent link: https://www.econbiz.de/10003603307
Saved in:
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