//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~institution:"International Center for Financial Asset Management and Engineering"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Expected Shortfall"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
Risikomaß
5
Risk measure
5
ARCH model
3
ARCH-Modell
3
Credit risk
2
Kreditrisiko
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Ausreißer
1
Estimation
1
Estimation theory
1
Market risk
1
Marktrisiko
1
Methodologie
1
Methodology
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Outliers
1
Poland
1
Polen
1
Prediction market
1
Prognosemarkt
1
Risikomanagement
1
Risk management
1
Schätztheorie
1
Schätzung
1
Sensitivity analysis
1
Sensitivitätsanalyse
1
Statistical distribution
1
Statistische Verteilung
1
more ...
less ...
Online availability
All
Free
5
Type of publication
All
Book / Working Paper
5
Type of publication (narrower categories)
All
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
Language
All
English
5
Author
All
Chlebus, Marcin
3
Buczyński, Mateusz
2
Scaillet, Olivier
2
Fermanian, Jean-David
1
Renault, Olivier
1
Institution
All
International Center for Financial Asset Management and Engineering
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
National Bureau of Economic Research
13
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
12
Basel Committee on Banking Supervision
7
Springer Fachmedien Wiesbaden
7
HAL
6
Business School, University of Sydney
5
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
University of Canterbury / Dept. of Economics and Finance
4
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
3
Friedrich-Schiller-Universität Jena
3
Geary Institute, University College Dublin
3
Pensions Institute
3
Springer-Verlag GmbH
3
Swiss Finance Institute
3
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
3
Tinbergen Instituut
3
Universität Mannheim
3
CESifo
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
2
Deutsche Bundesbank
2
Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
2
Federal Reserve Bank of San Francisco
2
Instituto Valenciano de Investigaciones Económicas
2
School of Economics and Finance, Tasmanian School of Business and Economics
2
Society for Computational Economics - SCE
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Universität Konstanz
2
Verlag Dr. Kovač
2
Banco Central do Brasil
1
Banco de la Republica de Colombia
1
Bank of Japan
1
Bank-Verlag GmbH
1
Bergische Universität Wuppertal
1
Berliner Wissenschafts-Verlag
1
Books on Demand GmbH <Norderstedt>
1
Boston College / Department of Economics
1
Center for Applied Economics and Policy Research (CAEPR), Department of Economics
1
more ...
less ...
Published in...
All
Working papers
3
FAME research paper series
2
Source
All
ECONIS (ZBW)
5
Showing
1
-
5
of
5
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2019
Persistent link: https://www.econbiz.de/10012041611
Saved in:
2
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
3
EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2016
Persistent link: https://www.econbiz.de/10011788233
Saved in:
4
On the way to recovery: a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001865061
Saved in:
5
Sensitivity analysis of VaR
expected
shortfall
for portfolios under netting agreements
Fermanian, Jean-David
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->