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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of business research : JBR"
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Risikomaß
Measurement
191
Messung
184
Performance measurement
156
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156
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56
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56
Portfolio selection
52
Portfolio-Management
52
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41
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Brandtner, Mario
2
Breuer, Thomas
2
Alqahtani, Faisal
1
Armstrong, John
1
Barbi, Massimiliano
1
Bellini, Fabio
1
Borges, Maria Rosa
1
Brigo, Damiano
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Brownlees, Christian
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Chabot, Ben
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Applied economics
Journal of banking & finance
Journal of business research : JBR
Insurance / Mathematics & economics
106
European journal of operational research : EJOR
29
Journal of risk
29
Risks : open access journal
29
Mathematics of operations research
20
Quantitative finance
20
Finance and stochastics
17
Mathematics and financial economics
17
Finance research letters
15
International journal of theoretical and applied finance
14
The journal of risk model validation
13
Scandinavian actuarial journal
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of operational risk
10
International review of financial analysis
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Operations research
9
ASTIN bulletin : the journal of the International Actuarial Association
8
Computational economics
8
Operations research letters
8
Research paper series / Swiss Finance Institute
8
International review of economics & finance : IREF
7
Journal of financial econometrics
7
Journal of risk and financial management : JRFM
7
Journal of risk management in financial institutions
7
Applied economics letters
6
Astin bulletin : the journal of the International Actuarial Association
6
Journal of mathematical finance
6
Risk measures for the 21st century
6
The North American journal of economics and finance : a journal of financial economics studies
6
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
5
Applied mathematical finance
5
Journal of forecasting
5
The European journal of finance
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4
Financial innovation : FIN
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ECONIS (ZBW)
27
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27
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1
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
Saved in:
2
Machine-learning-enhanced systemic risk measure : a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013448776
Saved in:
3
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
4
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
Saved in:
5
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
6
Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos
;
Tiwari, Aviral Kumar
;
Alqahtani, Faisal
- In:
Applied economics
52
(
2020
)
24
,
pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
Saved in:
7
Systematic stress tests on public data
Breuer, Thomas
;
Summer, Martin
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012521044
Saved in:
8
Option-implied objective measures of market risk
Leiss, Matthias
;
Nax, Heinrich H.
- In:
Journal of banking & finance
88
(
2018
),
pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
Saved in:
9
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
10
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
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