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subject:"Risikomaß"
subject:"USA"
~person:"Embrechts, Paul"
~person:"Kumar, Dilip"
~person:"Stoja, Evarist"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk management"
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Risikomaß
USA
Volatilität
Risikomanagement
24
Risk management
24
Risk measure
22
Theorie
14
Theory
14
Risiko
12
Risk
12
Ausreißer
7
Outliers
7
Portfolio selection
7
Portfolio-Management
7
Volatility
7
Statistical distribution
6
Statistische Verteilung
6
Basel Accord
5
Basler Akkord
5
Capital income
5
Kapitaleinkommen
5
ARCH model
4
ARCH-Modell
4
Bank risk
4
Bankrisiko
4
Estimation
4
Forecasting model
4
Prognoseverfahren
4
Schätzung
4
Value-at-risk
4
robustness
4
Extreme value volatility estimator
3
Multidimensional value at risk
3
Multivariate Verteilung
3
Multivariate distribution
3
expected shortfall
3
value-at-risk
3
Asymmetry
2
Dependence in risk
2
Estimation theory
2
Financial services
2
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23
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Article in journal
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23
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10
Graue Literatur
10
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10
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10
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1
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English
23
Author
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Embrechts, Paul
Kumar, Dilip
Stoja, Evarist
Wang, Ruodu
17
Hammoudeh, Shawkat
12
McAleer, Michael
11
Mao, Tiantian
10
Cai, Jun
8
Janabi, Mazin A. M. al
8
Li, Jianping
8
Puccetti, Giovanni
7
Righi, Marcelo Brutti
7
Rüschendorf, Ludger
7
Bernard, Carole
6
Boonen, Tim J.
6
Dionne, Georges
6
Goodwin, Barry K.
6
Hayes, Dermot James
6
Karmakar, Madhusudan
6
Mensi, Walid
6
Schuermann, Til
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Zhu, Xiaoqian
6
Brandtner, Mario
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Dias, Alexandra
5
Fabozzi, Frank J.
5
Ghorbel, Ahmed
5
Härdle, Wolfgang
5
Kouretas, Georgios P.
5
Liu, Fangda
5
Mishra, Ashok K.
5
Mitic, Peter
5
Naeem, Muhammad Abubakr
5
Polanski, Arnold
5
Yang, Fan
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
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Finance and stochastics
3
International journal of forecasting
2
Journal of banking & finance
2
Journal of international financial markets, institutions & money
2
Operations research
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Global business review
1
Journal of international money and finance
1
Journal of quantitative economics
1
Journal of risk
1
Risks : open access journal
1
Studies in economics and finance
1
The European journal of finance
1
The Geneva risk and insurance review
1
The journal of operational risk
1
The journal of prediction markets
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
23
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10
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23
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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
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
3
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
4
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
5
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:
6
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
7
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
8
Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
Kumar, Dilip
;
Maheswaran, Srinivasan
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 506-526
Persistent link: https://www.econbiz.de/10011961097
Saved in:
9
A Darwinian view on internal models
Embrechts, Paul
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011847418
Saved in:
10
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:
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