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subject:"Risiko"
subject:"Welt"
~accessRights:"restricted"
~person:"Brandtner, Mario"
~person:"Stoja, Evarist"
~subject:"Entscheidungstheorie"
~subject:"Statistical distribution"
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Risiko
Welt
Entscheidungstheorie
Statistical distribution
Risikomanagement
8
Risikomaß
8
Risk measure
8
Risk
7
Risk management
7
Portfolio selection
5
Portfolio-Management
5
Theorie
5
Theory
5
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Risikoprämie
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Expected Shortfall
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Brandtner, Mario
Stoja, Evarist
Wang, Ruodu
14
Li, Jianping
9
Mao, Tiantian
7
Qazi, Abroon
7
Boonen, Tim J.
6
Cai, Jun
6
Righi, Marcelo Brutti
6
Zhu, Xiaoqian
6
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5
Cossette, Hélène
5
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5
Ji, Qiang
5
Li, Johnny Siu-Hang
5
Marceau, Etienne
5
Mitic, Peter
5
Naeem, Muhammad Abubakr
5
Sornette, Didier
5
Wei, Lu
5
Broll, Udo
4
Cheng, T. C. E.
4
Chernov, Dmitry
4
Furman, Edward
4
Gaudenzi, Barbara
4
Guillén, Montserrat
4
Hammoudeh, Shawkat
4
Hassan, M. Kabir
4
Islamaj, Ergys
4
Kose, M. Ayhan
4
Lam, Jasmine Siu Lee
4
Liu, Haiyan
4
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4
Mirakhor, Abbas
4
Mitra, Sovan
4
Müller, Fernanda Maria
4
Müllner, Jakob
4
Quigley, John
4
Raviv, Alon
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4
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Journal of international financial markets, institutions & money
2
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial services research : JFSR
1
Quantitative finance
1
Scandinavian actuarial journal
1
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ECONIS (ZBW)
8
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1
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
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
Systematic extreme downside risk
Harris, Richard D. F.
;
Nguyen, Linh
;
Stoja, Evarist
- In:
Journal of international financial markets, …
61
(
2019
),
pp. 128-142
Persistent link: https://www.econbiz.de/10012128287
Saved in:
5
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:
6
Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold
;
Stoja, Evarist
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 958-969
Persistent link: https://www.econbiz.de/10011746932
Saved in:
7
"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:
8
Risikomessung mit kohärenten, spektralen und konvexen Risikomaßen : Konzeption, entscheidungstheoretische Implikationen und finanzwirtschaftliche Anwendungen
Brandtner, Mario
-
2012
Als Reaktion auf die Schwächen des Value-at-Risk-Konzeptes wurden in der Literatur axiomatische Risikomessansätze als Alternative vorgeschlagen. Mario Brandtner charakterisiert die diesen Ansätzen zugrunde liegenden Risikoverständnisse und präsentiert Techniken zu deren Umsetzung bei der...
Persistent link: https://www.econbiz.de/10014015725
Saved in:
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