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type_genre:"Hochschulschrift"
~accessRights:"restricted"
~language:"deu"
~language:"eng"
~person:"Eller, Roland"
~person:"Mao, Tiantian"
~person:"Yang, Fan"
~subject:"Bank management"
~subject:"Financial crisis"
~subject:"Production"
~subject:"Risiko"
~subject:"Russland"
~subject:"Theorie"
~subject:"Theory"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Aufsatzsammlung"
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Bank management
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Risikomanagement
11
Risk management
11
Portfolio selection
9
Portfolio-Management
9
Risikomaß
8
Risk measure
8
Risk
7
Measurement
6
Messung
6
Statistical distribution
5
Statistische Verteilung
5
Ausreißer
3
Outliers
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Bank risk
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Bankrisiko
2
Estimation theory
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Financial services
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Finanzdienstleistung
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Reinsurance
2
Rückversicherung
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Schätztheorie
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ARCH model
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ARCH-Modell
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Asymptotic analysis
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Basel Accord
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CVaR
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Capital allocation
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Capital income
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Capital structure
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Choquet integral
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Eller, Roland
Mao, Tiantian
Yang, Fan
Wang, Ruodu
15
Broll, Udo
9
Tan, Ken Seng
9
Boonen, Tim J.
7
Cai, Jun
7
Qazi, Abroon
7
Embrechts, Paul
6
Gatzert, Nadine
6
Li, Jianping
6
Li, Johnny Siu-Hang
6
Asimit, Alexandru V.
5
Bernard, Carole
5
Cheng, T. C. E.
5
Chi, Yichun
5
Cossette, Hélène
5
Ghadge, Abhijeet
5
Guillén, Montserrat
5
Hurlin, Christophe
5
Marceau, Etienne
5
Mitic, Peter
5
Righi, Marcelo Brutti
5
Rüschendorf, Ludger
5
Tang, Qihe
5
Welzel, Peter
5
Zenios, Stauros Andrea
5
Zhu, Xiaoqian
5
Bauer, Daniel
4
Berg, Marcel
4
Brandtner, Mario
4
Chaudhry, Sajid M.
4
Chen, An
4
Denuit, Michel
4
Dionne, Georges
4
Fabozzi, Frank J.
4
Finnoff, David
4
Furman, Edward
4
Grundke, Peter
4
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4
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Insurance / Mathematics & economics
5
Scandinavian actuarial journal
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Mathematics of operations research
1
Review of finance : journal of the European Finance Association
1
SpringerLink / Bücher
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ECONIS (ZBW)
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1
Optimal capital structure and risk management policies of banks that use coco futures to hedge financial-sector risk
Goldstein, Robert S.
;
Yang, Fan
- In:
Review of finance : journal of the European Finance …
28
(
2024
)
1
,
pp. 235-270
Persistent link: https://www.econbiz.de/10014527077
Saved in:
2
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
3
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
4
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
5
Asymptotic analysis of portfolio diversification
Cui, Hengxin
;
Tan, Ken Seng
;
Yang, Fan
;
Chen Zhou
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 302-325
Persistent link: https://www.econbiz.de/10013380569
Saved in:
6
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
7
Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan
;
Tan, Ken Seng
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
Saved in:
8
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
9
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
10
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
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