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type_genre:"Hochschulschrift"
~language:"deu"
~language:"eng"
~language:"rus"
~person:"Eller, Roland"
~person:"Jacobs, Michael <Jr.>"
~person:"Mao, Tiantian"
~subject:"Bank management"
~subject:"Financial crisis"
~subject:"Production"
~subject:"Risiko"
~subject:"Russland"
~subject:"Theorie"
~subject:"Theory"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
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30
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19
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19
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Eller, Roland
Jacobs, Michael <Jr.>
Mao, Tiantian
Broll, Udo
19
Wang, Ruodu
17
Embrechts, Paul
12
Tan, Ken Seng
12
Fabozzi, Frank J.
11
Boonen, Tim J.
9
Cai, Jun
9
Dionne, Georges
9
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9
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9
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9
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8
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7
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7
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7
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7
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7
Sherris, Michael
7
Summer, Martin
7
Tang, Qihe
7
Yang, Fan
7
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6
Ashby, Simon
6
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
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6
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6
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6
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ECONIS (ZBW)
25
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1
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:
2
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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
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:
5
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:
6
A comparison of methodologies in the stress testing of credit risk : alternative scenario and dependency constructs
Jacobs, Michael <Jr.>
;
Sensenbrenner, Frank J.
- In:
Quantitative finance and economics
2
(
2018
)
2
,
pp. 294-324
Persistent link: https://www.econbiz.de/10012156630
Saved in:
7
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:
8
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:
9
The accuracy of alternative supervisory methodologies for the stress testing of credit risk
Jacobs, Michael <Jr.>
- In:
International journal of financial engineering and risk …
3
(
2020
)
3
,
pp. 254-296
Persistent link: https://www.econbiz.de/10012253521
Saved in:
10
The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.>
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
3
,
pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
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