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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Basler Akkord"
~subject:"Measurement"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Basler Akkord
Measurement
Welt
Risikomaß
138
Risk measure
138
Theorie
82
Theory
82
Portfolio selection
59
Portfolio-Management
59
Risikomanagement
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Chen, Yanhong
2
Hu, Yijun
2
Rudloff, Birgit
2
Afonso, Lourdes B.
1
Akhter, Selim
1
Amini, Hamed
1
Araichi, Sawssen
1
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
International journal of theoretical and applied finance
Insurance / Mathematics & economics
111
Journal of banking & finance
47
Journal of risk
37
Risks : open access journal
37
European journal of operational research : EJOR
31
Finance research letters
24
Energy economics
21
International review of financial analysis
19
Mathematics of operations research
19
Econometric Institute research papers
18
Finance and stochastics
17
Journal of risk management in financial institutions
17
Mathematics and financial economics
17
The North American journal of economics and finance : a journal of financial economics studies
17
The journal of operational risk
17
Quantitative finance
16
The journal of risk model validation
16
Discussion paper / Tinbergen Institute
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Research paper series / Swiss Finance Institute
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14
International review of economics & finance : IREF
12
Journal of international financial markets, institutions & money
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Scandinavian actuarial journal
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Journal of financial stability
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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10
Operations research
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Journal of risk and financial management : JRFM
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Computational economics
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Journal of financial econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Operations research letters
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The journal of credit risk : published quarterly by Incisive Media
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ASTIN bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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1
Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Barbagli, Matteo
;
Vrins, Frédéric
- In:
Economic modelling
125
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463531
Saved in:
2
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
3
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
4
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
5
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
6
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
7
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
8
Set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012270994
Saved in:
9
Mixed data sampling expectile regression with applications to measuring financial risk
Xu, Qifa
;
Chen, Lu
;
Jiang, Cuixia
;
Yu, Keming
- In:
Economic modelling
91
(
2020
),
pp. 469-486
Persistent link: https://www.econbiz.de/10012429122
Saved in:
10
Set-valued law invariant coherent and convex risk measures
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012019780
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