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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Economic modelling"
~isPartOf:"The journal of operational risk"
~subject:"Measurement"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Measurement
Welt
Risikomaß
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62
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Akhter, Selim
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Barbagli, Matteo
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
The journal of operational risk
Insurance / Mathematics & economics
104
Journal of banking & finance
33
Risks : open access journal
30
European journal of operational research : EJOR
29
Journal of risk
28
Finance research letters
26
Energy economics
22
Mathematics of operations research
19
Finance and stochastics
17
International review of financial analysis
17
Mathematics and financial economics
17
Quantitative finance
17
The North American journal of economics and finance : a journal of financial economics studies
16
International journal of theoretical and applied finance
15
International review of economics & finance : IREF
14
Scandinavian actuarial journal
12
The journal of risk model validation
12
Research paper series / Swiss Finance Institute
11
Applied economics letters
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Working paper
10
Journal of risk management in financial institutions
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
Applied economics
8
Computational economics
8
Econometric Institute research papers
8
Journal of risk and financial management : JRFM
8
Operations research letters
8
ASTIN bulletin : the journal of the International Actuarial Association
7
Discussion paper / Tinbergen Institute
7
Journal of financial econometrics
7
Journal of forecasting
7
Journal of international financial markets, institutions & money
7
Journal of empirical finance
6
Journal of financial stability
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ECONIS (ZBW)
23
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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
How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian
;
Wang, Yinghui
;
Liu, Mingxi
;
Li, Jianping
- In:
The journal of operational risk
18
(
2023
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014490122
Saved in:
3
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:
4
Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
; …
- In:
The journal of operational risk
14
(
2019
)
2
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012052410
Saved in:
5
International trade, foreign direct investments, and firms' systemic risk : evidence from the Netherlands
Van Cauwenberge, Annelies
;
Vancauteren, Mark
;
Braekers, Roel
- In:
Economic modelling
81
(
2019
),
pp. 361-386
Persistent link: https://www.econbiz.de/10012202113
Saved in:
6
Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries
Radivojević, Nikola
;
Bojić, Borislav
;
Lakićević, Marija
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 43-76
Persistent link: https://www.econbiz.de/10012157429
Saved in:
7
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
Privault, Nicolas
;
Wei, Xiao
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 171-196
Persistent link: https://www.econbiz.de/10011875595
Saved in:
8
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
9
A note on the statistical robustness of risk measures
Zhelonkin, Mikhail
;
Chavez-Demoulin, Valérie
- In:
The journal of operational risk
12
(
2017
)
2
,
pp. 47-68
Persistent link: https://www.econbiz.de/10011775516
Saved in:
10
Contagion risk for Australian banks from global systemically important banks : evidence from extreme events
Akhter, Selim
;
Daly, Kevin James
- In:
Economic modelling
63
(
2017
),
pp. 191-205
Persistent link: https://www.econbiz.de/10011813475
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