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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
~subject:"Statistische Verteilung"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Statistische Verteilung
Risk measure
168
Risikomaß
167
Theorie
112
Theory
112
Portfolio selection
82
Portfolio-Management
82
Risiko
70
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70
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54
Risk management
54
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36
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36
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Robustes Verfahren
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Blazsek, Szabolcs
3
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2
Hammoudeh, Shawkat
2
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Applied economics
European journal of operational research : EJOR
Insurance / Mathematics & economics
89
Journal of banking & finance
64
International journal of forecasting
56
Finance research letters
51
Risks : open access journal
45
Journal of risk
40
Discussion paper / Tinbergen Institute
38
Journal of forecasting
33
The journal of risk model validation
33
Energy economics
32
International review of financial analysis
31
Economic modelling
29
Journal of empirical finance
29
The North American journal of economics and finance : a journal of financial economics studies
29
Journal of risk and financial management : JRFM
25
Quantitative finance
25
Journal of financial econometrics
22
The journal of operational risk
22
Computational economics
21
Journal of econometrics
21
Journal of risk management in financial institutions
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
SFB 649 discussion paper
20
The journal of credit risk : published quarterly by Incisive Media
20
The European journal of finance
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
International review of economics & finance : IREF
17
Econometric Institute research papers
16
Journal of international financial markets, institutions & money
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Research paper series / Swiss Finance Institute
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Applied economics letters
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Pacific-Basin finance journal
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Working papers
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International journal of theoretical and applied finance
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Scandinavian actuarial journal
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Research in international business and finance
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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1
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
2
Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun
;
Liu, Fangda
;
Yin, Mingren
- In:
European journal of operational research : EJOR
318
(
2024
)
1
,
pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
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
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
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:
6
Portfolio selection : a target-distribution approach
Lassance, Nathan
;
Vrins, Frédéric
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 302-314
Persistent link: https://www.econbiz.de/10014340178
Saved in:
7
A gradient boosting approach to estimating tail risk interconnectedness
Long, Yunshen
;
Zeng, LinQing
;
Wang, Jing
;
Long, Xingchen
; …
- In:
Applied economics
54
(
2022
)
8
,
pp. 862-879
Persistent link: https://www.econbiz.de/10012874756
Saved in:
8
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:
9
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
Saved in:
10
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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