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~accessRights:"restricted"
~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Value-at-Risk"
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Value-at-Risk
Risikomanagement
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value-at-risk
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
Wang, Ruodu
10
Gerlach, Richard
7
Klüppelberg, Claudia
4
Puccetti, Giovanni
4
Rüschendorf, Ludger
4
Farkas, Walter
3
Härdle, Wolfgang
3
McAleer, Michael
3
Vanduffel, Steven
3
Walther, Thomas
3
Ardia, David
2
Asimit, Alexandru V.
2
Auer, Benjamin R.
2
Bernard, Carole
2
Chang, Chia-Lin
2
Charpentier, Arthur
2
Chen, Cathy W.S.
2
Chen, Qian
2
Cheung, Ka Chun
2
Chiu, Yen-Chen
2
Chuang, I-Yuan
2
D'ADDONA, STEFANO
2
Dias, Alexandra
2
Fuertes, Ana María
2
Gerlach, Richard H.
2
Hofert, Marius
2
Klein, Tony
2
Kley, Oliver
2
Koch Medina, Pablo
2
Lazar, Emese
2
Lin, Chu-Hsiung
2
Lin, Liyuan
2
Liu, Haiyan
2
MARINELLI, CARLO
2
Mao, Tiantian
2
McNeil, Alexander J.
2
Munari, Cosimo
2
Omari, Cyprian Ondieki
2
Oulidi, Abder
2
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Journal of Econometrics
1
Journal of econometrics
1
Journal of financial stability
1
Risks : open access journal
1
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ECONIS (ZBW)
3
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1
Model risk of risk models
Daníelsson, Jón
;
James, Kevin
;
Valenzuela, Marcela
; …
- In:
Journal of financial stability
23
(
2016
),
pp. 79-91
Persistent link: https://www.econbiz.de/10011703816
Saved in:
2
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
3
An academic response to Basel 3.5
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
; …
- In:
Risks : open access journal
2
(
2014
)
1
,
pp. 25-48
). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10010338097
Saved in:
4
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjørn N.
;
Samorodnitsky, …
- In:
Journal of Econometrics
172
(
2013
)
2
,
pp. 283-291
Financial institutions rely heavily on
Value-at-Risk
(VaR) as a risk measure, even though it is not globally …
Persistent link: https://www.econbiz.de/10011052195
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