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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:"Kreditrisiko"
~subject:"Measurement"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Kreditrisiko
Measurement
Welt
Risikomaß
140
Risk measure
140
Theorie
83
Theory
83
Portfolio selection
60
Portfolio-Management
60
Risikomanagement
50
Risk management
50
Risiko
47
Risk
47
Statistical distribution
30
Statistische Verteilung
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Messung
24
ARCH model
23
ARCH-Modell
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Volatility
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Volatilität
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Estimation
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Schätzung
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Stochastic process
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Stochastischer Prozess
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Financial crisis
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Ausreißer
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Outliers
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Multivariate Verteilung
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Bankrisiko
12
Credit risk
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Systemrisiko
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Aktienmarkt
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Basel Accord
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Basler Akkord
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Stock market
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Option pricing theory
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English
39
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Chen, Yanhong
2
Hu, Yijun
2
Rudloff, Birgit
2
Rutkowski, Marek
2
Akhter, Selim
1
Amini, Hamed
1
Ararat, Çağin
1
Auer, Benjamin R.
1
Barbagli, Matteo
1
Boonen, Tim J.
1
Braekers, Roel
1
Candelon, Bertrand
1
Centrone, Francesca
1
Changqing, Luo
1
Chekhlov, Alexei
1
Chen, Lu
1
Chi, Xie
1
Cong, Yu
1
Cont, Rama
1
Daly, Kevin James
1
Deng, Yang
1
Durand, Cyril
1
Fard, Farzad Alavi
1
Feng, Runhuan
1
Furman, Edward
1
Gatfaoui, Hayette
1
Gouriéroux, Christian
1
Guambe, Calisto
1
Hamel, Andreas
1
Huang, Huaxia
1
Huang, Zhenzhen
1
Hürlimann, Werner
1
Jiang, Cuixia
1
Jokhadze, Valeriane
1
Joëts, Marc
1
Kim, Jong-Min
1
Kim, Young Shin
1
Koivusalo, Alexander F. R.
1
Kromer, Eduard
1
Kufakunesu, Rodwell
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
52
Risks : open access journal
40
European journal of operational research : EJOR
36
Journal of risk
36
Finance research letters
28
Energy economics
22
The journal of credit risk : published quarterly by Incisive Media
20
The journal of risk model validation
20
International review of financial analysis
19
Journal of risk management in financial institutions
19
Mathematics of operations research
19
The North American journal of economics and finance : a journal of financial economics studies
19
Finance and stochastics
18
Quantitative finance
18
Mathematics and financial economics
17
International review of economics & finance : IREF
16
Discussion paper / Tinbergen Institute
15
Research paper series / Swiss Finance Institute
15
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
12
Applied economics letters
11
Computational economics
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Working paper
11
Econometric Institute research papers
10
Journal of financial services research : JFSR
10
Journal of risk and financial management : JRFM
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Operations research
10
The European journal of finance
10
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
School of Accounting, Finance and Economics & FEMARC working paper series
9
The journal of operational risk
9
Applied economics
8
Discussion paper / Deutsche Bundesbank
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Journal of financial econometrics
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Journal of financial stability
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ECONIS (ZBW)
39
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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
A model-based index for systemic risk contribution measurement in financial networks
Deng, Yang
;
Zhang, Ziqing
;
Zhu, Li
- In:
Economic modelling
95
(
2021
),
pp. 35-48
Persistent link: https://www.econbiz.de/10012695628
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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