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type_genre:"Thesis"
~person:"Mitic, Peter"
~person:"Rüschendorf, Ludger"
~subject:"Deutschland"
~subject:"Risk measure"
~type_genre:"Aufsatz in Zeitschrift"
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Deutschland
Risk measure
Risikomanagement
14
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14
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12
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7
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7
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6
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loss distribution
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Mitic, Peter
Rüschendorf, Ludger
Wang, Ruodu
16
Gleißner, Werner
15
Embrechts, Paul
11
Mao, Tiantian
10
Hammoudeh, Shawkat
9
Cai, Jun
8
Henschel, Thomas
8
Janabi, Mazin A. M. al
7
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7
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7
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7
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6
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6
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6
Stoja, Evarist
6
Tan, Ken Seng
6
Balbás de la Corte, Alejandro
5
Bernard, Carole
5
Boonen, Tim J.
5
Chaudhry, Sajid M.
5
Cheung, Ka Chun
5
Ghorbel, Ahmed
5
Hamerle, Alfred
5
Härdle, Wolfgang
5
Kumar, Dilip
5
Liu, Fangda
5
McAleer, Michael
5
Mensi, Walid
5
Polanski, Arnold
5
Schneider, Andreas
5
Tiwari, Aviral Kumar
5
Wilkens, Sascha
5
Yang, Fan
5
Zhu, Xiaoqian
5
Zitikis, Ričardas
5
Al-Yahyaee, Khamis Hamed
4
Alexander, Gordon J.
4
Asimit, Alexandru V.
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Insurance / Mathematics & economics
2
The journal of operational risk
2
The journal of risk model validation
2
Finance and stochastics
1
Journal of banking & finance
1
Journal of empirical finance
1
Risks : open access journal
1
Scandinavian actuarial journal
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ECONIS (ZBW)
12
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1
Credible value-at-risk
Mitic, Peter
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
2
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
3
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
Saved in:
4
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:
5
A central limit theorem formulation for empirical bootstrap value-at-risk
Mitic, Peter
;
Bloxham, Nicholas
- In:
The journal of risk model validation
12
(
2018
)
1
,
pp. 49-83
Persistent link: https://www.econbiz.de/10011869732
Saved in:
6
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:
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
Reputation risk contagion
Mitic, Peter
- In:
The journal of network theory in finance
3
(
2017
)
1
,
pp. 53-86
Persistent link: https://www.econbiz.de/10011668583
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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