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~accessRights:"restricted"
~language:"eng"
~person:"Embrechts, Paul"
~person:"Polanski, Arnold"
~person:"Vanduffel, Steven"
~person:"Vries, Casper G. de"
~subject:"Risikomaß"
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Search: subject:"Value at Risk"
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Embrechts, Paul
Polanski, Arnold
Vanduffel, Steven
Vries, Casper G. de
Wang, Ruodu
23
Righi, Marcelo Brutti
18
Hammoudeh, Shawkat
14
Mensi, Walid
14
Boonen, Tim J.
13
Härdle, Wolfgang
12
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11
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11
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10
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10
Müller, Fernanda Maria
10
Tan, Ken Seng
10
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9
Gupta, Rangan
9
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9
Mao, Tiantian
9
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9
Rüschendorf, Ludger
9
Xu, Qifa
9
Cheung, Ka Chun
8
Furman, Edward
8
Gerlach, Richard
8
Hoga, Yannick
8
Kumar, Dilip
8
Munari, Cosimo-Andrea
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Shahzad, Syed Jawad Hussain
8
Al-Yahyaee, Khamis Hamed
7
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Kürsten, Wolfgang
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Peng, Liang
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Rosazza Gianin, Emanuela
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ECONIS (ZBW)
17
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17
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1
Robust distortion risk measures
Pesenti, Silvana M.
;
Vanduffel, Steven
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 774-818
Persistent link: https://www.econbiz.de/10014565274
Saved in:
2
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
Saved in:
3
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
4
Range
value-at-risk
bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
5
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
6
Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
Saved in:
7
Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold
;
Stoja, Evarist
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 958-969
Persistent link: https://www.econbiz.de/10011746932
Saved in:
8
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:
9
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:
10
How robust is the
value-at-risk
of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
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