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subject:"Risikomaß"
subject:"USA"
~person:"Brandtner, Mario"
~person:"Schuermann, Til"
~subject:"Basel Accord"
~subject:"Risk measure"
~type_genre:"Aufsatz in Zeitschrift"
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Risikomaß
USA
Basel Accord
Risk measure
Risikomanagement
15
Risk management
15
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6
Credit risk
5
Kreditrisiko
5
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5
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5
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Brandtner, Mario
Schuermann, Til
Wang, Ruodu
16
Embrechts, Paul
12
Hammoudeh, Shawkat
10
Mao, Tiantian
10
Cai, Jun
8
Li, Jianping
8
McAleer, Michael
8
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8
Dionne, Georges
7
Janabi, Mazin A. M. al
7
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
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7
Bernard, Carole
6
Boonen, Tim J.
6
Goodwin, Barry K.
6
Hayes, Dermot James
6
Jacobs, Michael <Jr.>
6
Karmakar, Madhusudan
6
Stoja, Evarist
6
Tan, Ken Seng
6
Zhu, Xiaoqian
6
Alexander, Gordon J.
5
Asimit, Alexandru V.
5
Balbás de la Corte, Alejandro
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Gatzert, Nadine
5
Ghorbel, Ahmed
5
Härdle, Wolfgang
5
Kumar, Dilip
5
Liu, Fangda
5
McConnell, Patrick
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Mensi, Walid
5
Migueis, Marco
5
Mishra, Ashok K.
5
Mitic, Peter
5
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Journal of banking & finance
2
Journal of financial services research : JFSR
2
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1
Current issues in economics and finance
1
Insurance / Mathematics & economics
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ECONIS (ZBW)
12
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1
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:
2
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:
3
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:
4
"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:
5
Stress testing convergence
Gutiérrez Gallardo, Germán
;
Schuermann, Til
;
Duane, …
- In:
Journal of risk management in financial institutions
9
(
2015/2016
)
1
,
pp. 32-45
Persistent link: https://www.econbiz.de/10011488786
Saved in:
6
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:
7
Managing bank liquidity risk : how deposit-loan synergies vary with market conditions
Gatev, Evan G.
;
Schuermann, Til
;
Strahan, Philip E.
- In:
The review of financial studies
22
(
2009
)
3
,
pp. 995-1020
Persistent link: https://www.econbiz.de/10003827702
Saved in:
8
Firm heterogeneity and credit risk diversification
Hanson, Samuel G.
;
Pesaran, M. Hashem
;
Schuermann, Til
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 583-612
Persistent link: https://www.econbiz.de/10003759687
Saved in:
9
Confidence intervals for probabilities of default
Hanson, Samuel G.
;
Schuermann, Til
- In:
Journal of banking & finance
30
(
2006
)
8
,
pp. 2281-2301
Persistent link: https://www.econbiz.de/10003355794
Saved in:
10
Deposit insurance and risk management of the U.S. banking system : what is the loss distribution faced by the FDIC?
Kuritzkes, Andrew
;
Schuermann, Til
;
Weiner, Scott M.
- In:
Journal of financial services research : JFSR
27
(
2005
)
3
,
pp. 217-242
Persistent link: https://www.econbiz.de/10003056484
Saved in:
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