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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of financial econometrics"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Risk measure"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risk measure
196
Risikomaß
195
Theorie
127
Theory
127
Portfolio selection
89
Portfolio-Management
89
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76
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76
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48
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Blazsek, Szabolcs
3
Allen, David E.
2
Dimitriadis, Timo
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Hoga, Yannick
2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Applied economics
European journal of operational research : EJOR
Journal of financial econometrics
International journal of forecasting
53
Journal of banking & finance
46
Finance research letters
39
Risks : open access journal
33
Journal of forecasting
32
Insurance / Mathematics & economics
31
Journal of risk
27
Energy economics
26
The North American journal of economics and finance : a journal of financial economics studies
26
The journal of risk model validation
25
Discussion paper / Tinbergen Institute
24
International review of financial analysis
24
Economic modelling
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
The journal of credit risk : published quarterly by Incisive Media
19
Journal of empirical finance
18
Journal of risk and financial management : JRFM
17
Computational economics
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Journal of risk management in financial institutions
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The European journal of finance
16
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SFB 649 discussion paper
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International review of economics & finance : IREF
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of international financial markets, institutions & money
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Applied economics letters
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Research paper series / Swiss Finance Institute
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Journal of economic dynamics & control
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Pacific-Basin finance journal
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School of Accounting, Finance and Economics & FEMARC working paper series
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Journal of financial services research : JFSR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Discussion paper / Deutsche Bundesbank
7
International journal of theoretical and applied finance
7
Journal of econometrics
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ECONIS (ZBW)
48
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1
Forecasting value-at-risk using deep neural network quantile regression
Chronopoulos, Ilias
;
Raftapostolos, Aristeidis
; …
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 636-669
Persistent link: https://www.econbiz.de/10015045167
Saved in:
2
Regression-based expected shortfall backtesting
Bayer, Sebastian
;
Dimitriadis, Timo
- In:
Journal of financial econometrics
20
(
2022
)
3
,
pp. 437-471
Persistent link: https://www.econbiz.de/10013349110
Saved in:
3
Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
4
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
5
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
6
Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 412-444
Persistent link: https://www.econbiz.de/10014314753
Saved in:
7
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
8
Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak
;
Mues, Christophe
;
Okhrati, Ramin
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
Saved in:
9
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
10
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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