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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"The journal of risk model validation"
~subject:"Bank risk"
~subject:"Basel Accord"
~subject:"Measurement"
~subject:"Portfolio-Management"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Bank risk
Basel Accord
Measurement
Portfolio-Management
Risikomaß
119
Risk measure
119
Theorie
47
Theory
47
Portfolio selection
39
Risikomanagement
34
Risk management
34
ARCH model
26
ARCH-Modell
26
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26
Prognoseverfahren
26
Statistical distribution
26
Statistische Verteilung
26
Basler Akkord
25
Volatility
23
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23
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21
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Schätzung
19
Messung
16
Credit risk
14
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14
value-at-risk (VaR)
13
Estimation theory
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Welt
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World
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Capital income
10
Financial crisis
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backtesting
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McAleer, Michael
18
Pérez Amaral, Teodosio
11
Jiménez-Martín, Juan-Ángel
9
Chang, Chia-Lin
6
Allen, David E.
3
Bi̇rbi̇l, Ş. İlker
2
Colucci, Stefano
2
Frenk, Johannes G.
2
Hammoudeh, Shawkat
2
Jimenez-Martin, Juan-Angel
2
Kaynar, Bahar
2
Maasoumi, Esfandiar
2
Powell, Robert
2
Singh, Abhay Kumar
2
Yang, Bill Huajian
2
Afonso, Lourdes B.
1
Bloxham, Nicholas
1
Boonen, Tim J.
1
Cai, Chunlin
1
Casarin, Roberto
1
Ceretta, Sergio Paulo
1
Cesarone, Francesco
1
Chan, Felix
1
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1
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1
Da Veiga, Bernardo
1
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1
Du, Zunwei
1
Erdman, Donald
1
Fei, Glenn
1
Feng, Runhuan
1
Fischer, Matthias
1
Floryszczak, A.
1
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Astin bulletin : the journal of the International Actuarial Association
Econometric Institute research papers
The journal of risk model validation
Insurance / Mathematics & economics
159
Journal of banking & finance
106
European journal of operational research : EJOR
78
Journal of risk
77
Risks : open access journal
65
Finance research letters
54
Economic modelling
41
Quantitative finance
40
International review of financial analysis
39
The North American journal of economics and finance : a journal of financial economics studies
35
Discussion paper / Tinbergen Institute
34
Journal of risk and financial management : JRFM
30
International journal of theoretical and applied finance
29
Finance and stochastics
26
The journal of operational risk
25
Computational economics
24
Journal of economic dynamics & control
24
Applied economics
23
Journal of risk management in financial institutions
22
The European journal of finance
22
International review of economics & finance : IREF
21
Journal of empirical finance
21
Mathematics and financial economics
21
Mathematics of operations research
21
Research in international business and finance
21
Research paper series / Swiss Finance Institute
21
Journal of international financial markets, institutions & money
19
Operations research
19
Scandinavian actuarial journal
19
International journal of forecasting
18
Working papers
18
Management science : journal of the Institute for Operations Research and the Management Sciences
17
The journal of credit risk : published quarterly by Incisive Media
17
Operations research letters
16
The journal of asset management
16
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Working paper
15
Journal of econometrics
14
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ECONIS (ZBW)
60
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1
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
2
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
3
Does the asymmetric exponential power distribution improve systemic risk measurement?
Wu, Shu
;
Chen, Huiqiong
;
Li, Helong
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10014485620
Saved in:
4
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
5
Expected shortfall model based on a neural network
Doncic, Sanja
;
Pantic, Nemanja
;
Lakićević, Marija
- In:
The journal of risk model validation
16
(
2022
)
2
,
pp. 63-83
Persistent link: https://www.econbiz.de/10014540573
Saved in:
6
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
7
Nonconvex noncash risk measures
Cong, Chang
;
Zhao, Peibiao
- In:
The journal of risk model validation
15
(
2021
)
2
,
pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
Saved in:
8
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
9
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
10
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
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