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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of risk"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risk measure
288
Risikomaß
287
Theorie
151
Theory
151
Portfolio selection
137
Portfolio-Management
137
Risiko
95
Risk
95
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93
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Blazsek, Szabolcs
3
Allen, David E.
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Monteros, Luis Antonio
2
Singh, Abhay Kumar
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Applied economics
European journal of operational research : EJOR
Journal of risk
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
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
Energy economics
24
International review of financial analysis
24
Economic modelling
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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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
16
Journal of risk management in financial institutions
16
The European journal of finance
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SFB 649 discussion paper
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Quantitative finance
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Econometric Institute research papers
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International review of economics & finance : IREF
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Journal of financial econometrics
13
Journal of international financial markets, institutions & money
12
Applied economics letters
11
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10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
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
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7
International journal of theoretical and applied finance
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ECONIS (ZBW)
61
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1
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:
2
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:
3
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
4
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:
5
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
6
Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
Saved in:
7
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
8
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
9
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
10
Bayesian Value-at-Risk backtesting : the case of annuity pricing
Leung, Melvern
;
Li, Youwei
;
Pantelous, Athanasios A.
; …
- In:
European journal of operational research : EJOR
293
(
2021
)
2
,
pp. 786-801
Persistent link: https://www.econbiz.de/10012513273
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