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subject:"Risikomaß"
subject:"USA"
~person:"Karmakar, Madhusudan"
~person:"Puccetti, Giovanni"
~person:"Rüschendorf, Ludger"
~subject:"Operational Risk"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Reprint"
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Risikomaß
USA
Operational Risk
Risikomanagement
16
Risk management
16
Risk measure
16
Risiko
11
Risk
11
Theorie
10
Theory
10
Portfolio selection
8
Portfolio-Management
8
ARCH model
5
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Ausreißer
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Capital income
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Outliers
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Value-at-Risk
5
Statistical distribution
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Statistische Verteilung
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Aktienmarkt
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3
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3
Peak over threshold method
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Risk aggregation
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2
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Conditional EVT
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Extreme value theory
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Factor analysis
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16
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Karmakar, Madhusudan
Puccetti, Giovanni
Rüschendorf, Ludger
Wang, Ruodu
16
Embrechts, Paul
11
Hammoudeh, Shawkat
10
Mao, Tiantian
10
Cai, Jun
8
Li, Jianping
8
McAleer, Michael
8
Janabi, Mazin A. M. al
7
Righi, Marcelo Brutti
7
Bernard, Carole
6
Boonen, Tim J.
6
Dionne, Georges
6
Goodwin, Barry K.
6
Hayes, Dermot James
6
Schuermann, Til
6
Stoja, Evarist
6
Tan, Ken Seng
6
Zhu, Xiaoqian
6
Brandtner, Mario
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Ghorbel, Ahmed
5
Härdle, Wolfgang
5
Kumar, Dilip
5
Liu, Fangda
5
Mensi, Walid
5
Mishra, Ashok K.
5
Mitic, Peter
5
Polanski, Arnold
5
Tiwari, Aviral Kumar
5
Yang, Fan
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
Alexander, Gordon J.
4
Asimit, Alexandru V.
4
Babcock, Bruce A.
4
Balbás de la Corte, Alejandro
4
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Finance and stochastics
2
Insurance / Mathematics & economics
2
Journal of banking & finance
2
Review of financial economics : RFE
2
International journal of forecasting
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of empirical finance
1
Risks : open access journal
1
Scandinavian actuarial journal
1
The Geneva risk and insurance review
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
16
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1
Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan
;
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
41
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
Saved in:
2
Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
Saved in:
3
Analysis of risk bounds in partially specified additive factor models
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
86
(
2019
),
pp. 115-121
Persistent link: https://www.econbiz.de/10012058839
Saved in:
4
A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.
;
Giammusso, Davide
;
Puccetti, …
- In:
Journal of banking & finance
96
(
2018
),
pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
Saved in:
5
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
6
Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach
Karmakar, Madhusudan
- In:
The quarterly review of economics and finance : journal …
64
(
2017
),
pp. 275-291
Persistent link: https://www.econbiz.de/10011792337
Saved in:
7
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
8
Intraday risk management in International stock markets : a conditional EVT approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International review of financial analysis
44
(
2016
),
pp. 34-55
Persistent link: https://www.econbiz.de/10011623805
Saved in:
9
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
10
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
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