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subject:"Portfolio selection"
type_genre:"Handbuch"
~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Derivat"
~subject:"Welt"
~type_genre:"Aufsatz in Zeitschrift"
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Portfolio selection
Basel Accord
Derivat
Welt
Risikomanagement
47
Risk management
47
Risikomaß
23
Risk measure
23
Credit risk
16
Kreditrisiko
16
Theorie
16
Theory
16
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11
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backtesting
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Banking supervision
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model risk
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value-at-risk (VaR)
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Statistischer Test
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credit risk
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model validation
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risk management
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value-at-risk
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Chen, Wei
3
Skoglund, Jimmy
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Jacobs, Michael <Jr.>
2
Arrieta, Daniel
1
Bloxham, Nicholas
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Cai, Chunlin
1
Chernih, Andrew
1
Cooper, James
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Dekker, Peter
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Du, Zunwei
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Erdman, Donald
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Gonpot, Preethee Nunkoo
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Ha Tran Manh
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Lin, Liyi
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Mai Ngoc Tran
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Mitic, Peter
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Novosyolov, Arcady
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Predescu, Mirela
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Schmieder, Christian
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The journal of risk model validation
Insurance / Mathematics & economics
110
Journal of banking & finance
92
Journal of risk management in financial institutions
87
Finance research letters
70
Risks : open access journal
64
European journal of operational research : EJOR
62
International review of financial analysis
48
Journal of risk
48
The journal of operational risk
46
Energy economics
45
Journal of risk and financial management : JRFM
39
Risiko-Manager
36
Quantitative finance
34
The journal of portfolio management : JPM
33
International review of economics & finance : IREF
32
The North American journal of economics and finance : a journal of financial economics studies
29
Economic modelling
26
International journal of theoretical and applied finance
24
The journal of portfolio management : a publication of Institutional Investor
24
Die Bank
22
Journal of financial stability
22
The journal of asset management
22
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
22
The European journal of finance
21
Applied economics
20
The journal of investing
20
The journal of credit risk : published quarterly by Incisive Media
19
Journal of investment management : JOIM
18
Journal of international financial markets, institutions & money
17
Journal of risk finance : the convergence of financial products and insurance
17
Research in international business and finance
17
Journal of empirical finance
16
The journal of futures markets
16
International Journal of Financial Studies : open access journal
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
Finance and stochastics
14
Risk management : a journal of risk, crisis and disaster
14
Scandinavian actuarial journal
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
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ECONIS (ZBW)
21
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1
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
2
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
3
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
4
Model risk qualification based on relative entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
Saved in:
5
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
6
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
7
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
8
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
Lin, Liyi
;
Heemskerk, Marc
;
Dekker, Peter
- In:
The journal of risk model validation
12
(
2018
)
3
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011991966
Saved in:
9
Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
Saved in:
10
Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge
Wilkens, Sascha
;
Predescu, Mirela
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 41-67
Persistent link: https://www.econbiz.de/10011992266
Saved in:
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