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subject:"Risikomaß"
type_genre:"Working Paper"
~isPartOf:"Carlo Alberto notebooks"
~isPartOf:"Finance and economics discussion series"
~isPartOf:"Staff working papers / Bank of England"
~isPartOf:"Working papers"
~source:"econis"
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Risikomaß
Risk management
63
Risikomanagement
62
Theorie
24
Theory
24
Risk measure
20
Risk
19
Risiko
18
Portfolio selection
14
Portfolio-Management
14
Estimation
11
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Bankrisiko
10
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Financial crisis
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Financial services
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Welt
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risk management
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ARCH model
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USA
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Volatility
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Volatilität
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Bank
5
Basel Accord
5
Basler Akkord
5
Systemic risk
5
Systemrisiko
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tail risk
5
Derivat
4
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4
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19
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Working Paper
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Graue Literatur
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Non-commercial literature
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English
19
French
1
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Billio, Monica
3
Frattarolo, Lorenzo
3
Pelizzon, Loriana
3
Stoja, Evarist
3
Breugem, Matthijs
2
Caporin, Massimiliano
2
Chlebus, Marcin
2
Corvino, Raffaele
2
Marfè, Roberto
2
Polanski, Arnold
2
Schönleber, Lorenzo
2
Afonso, António
1
Barro, Diana
1
Barziy, Illya
1
Benavides, Guillermo
1
Campbell, Sean D.
1
Canestrelli, Elio
1
Chiu, Ching Wai Jeremy
1
Cipollini, Fabrizio
1
Gallo, Giampiero M.
1
Gomes, Pedro
1
Gordy, Michael B.
1
Harris, Richard D. F.
1
Hassani, Samir Saissi
1
Hasse, Jean-Baptiste
1
Kielak, Karol
1
Lanza, Fabio
1
Lloyd, Simon
1
Manuel, Ed
1
McNeil, Alexander J.
1
Nguyen, Linh
1
Palandri, Alessandro
1
Panchev, Konstantin
1
Schiffers, Aleksander
1
Taamouti, Abderrahim
1
Ślepaczuk, Robert
1
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Carlo Alberto notebooks
Finance and economics discussion series
Staff working papers / Bank of England
Working papers
Discussion paper / Tinbergen Institute
14
Research paper series / Swiss Finance Institute
13
SFB 649 discussion paper
7
CESifo working papers
6
Working papers / TSE : WP
6
Swiss Finance Institute Research Paper
5
IMES discussion paper series / Englische Ausgabe
4
DNB working paper
3
Discussion paper
3
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
3
Econometric Institute research papers
3
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3
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2
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2
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Discussion paper / The Pensions Institute, Cass Business School, City University
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2
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2
IES working paper
2
IHS economics series : working paper
2
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Mu̐helytanulmányok / Magyar Tudományos Akadémia, Közgazdaságtudományi Intézet
2
Reihe Ökonomie
2
Ross School of Business working paper series
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Working papers / Faculty of Applied Economics, Universiteit Antwerpen
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ECONIS (ZBW)
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Pandemic tail risk
Breugem, Matthijs
;
Corvino, Raffaele
;
Marfè, Roberto
; …
-
2024
Persistent link: https://www.econbiz.de/10014521079
Saved in:
2
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
3
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
4
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
5
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322235
Saved in:
6
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
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7
Systemic risk: a network approach
Hasse, Jean-Baptiste
-
2020
Persistent link: https://www.econbiz.de/10012387222
Saved in:
8
Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo
-
2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
Saved in:
9
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2020
Persistent link: https://www.econbiz.de/10012244841
Saved in:
10
Pandemic tail risk
Breugem, Matthijs
;
Corvino, Raffaele
;
Marfè, Roberto
; …
-
2020
-
This version: December 2, 2020
Persistent link: https://www.econbiz.de/10012511759
Saved in:
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