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~institution:"Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes"
~subject:"Prognoseverfahren"
~subject:"Risk"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Prognoseverfahren
Risk
Measurement
2
Messung
2
Risiko
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Risikomanagement
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Risikomaß
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Risk management
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Risk measure
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Aktienindex
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Estimation
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Extremal Index
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Independence
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Portfolio selection
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Risk measures
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Stock index
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Theorie
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Theory
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VaR Backtesting
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asymptotic exponential distribution
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expected shortfall
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Bücher, Axel
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Klüppelberg, Claudia
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Posch, Peter N.
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Schmidtke, Philipp
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Seifert, Miriam
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
3
Federal Reserve Bank of San Francisco
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
2
Boston College / Department of Economics
1
Instituto Valenciano de Investigaciones Económicas
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International Risk Management Conference <5, 2012, Rom>
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University of Canterbury / Dept. of Economics and Finance
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University of Strathclyde / Department of Economics
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
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ECONIS (ZBW)
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012035248
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2
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
-
Sonderforschungsbereich Statistical Modelling of …
-
2018
Persistent link: https://www.econbiz.de/10011921089
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