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~isPartOf:"Computational economics"
~isPartOf:"Operations research"
~subject:"Estimation theory"
~subject:"Expected shortfall"
~subject:"Risk management"
~subject:"coherent risk measures"
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Estimation theory
Expected shortfall
Risk management
coherent risk measures
Risikomaß
63
Risk measure
63
Theorie
39
Theory
39
Portfolio selection
35
Portfolio-Management
35
Risk
28
Risiko
27
Measurement
16
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16
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Value at risk
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4
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English
32
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Chan, Stephen
2
Embrechts, Paul
2
Nadarajah, Saralees
2
Wang, Ruodu
2
Afuecheta, Emmanuel
1
Alvarez, Susana
1
Avdoulas, Christos
1
Baixauli, J. Samuel
1
Beaumont, Paul Michael
1
Bekiros, Stelios
1
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1
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1
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1
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1
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1
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1
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1
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1
Deng, Xue
1
Du, Junhong
1
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1
Eleftheriadis, Iordanis
1
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1
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1
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1
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1
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1
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1
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Computational economics
Operations research
Insurance / Mathematics & economics
113
Journal of banking & finance
64
Journal of risk
57
Risks : open access journal
56
European journal of operational research : EJOR
45
Finance research letters
36
The journal of operational risk
30
Economic modelling
29
The North American journal of economics and finance : a journal of financial economics studies
27
Energy economics
26
Quantitative finance
26
The journal of risk model validation
26
International journal of forecasting
25
International review of financial analysis
25
Journal of econometrics
24
Discussion paper / Tinbergen Institute
21
Journal of risk management in financial institutions
21
International journal of theoretical and applied finance
20
Journal of empirical finance
17
Journal of risk and financial management : JRFM
17
Applied economics
16
International review of economics & finance : IREF
16
The European journal of finance
15
Working papers
15
Journal of financial econometrics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of mathematical finance
13
Research paper series / Swiss Finance Institute
13
Finance and stochastics
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Research in international business and finance
12
SFB 649 discussion paper
12
Journal of international financial markets, institutions & money
11
Pacific-Basin finance journal
11
Scandinavian actuarial journal
11
Astin bulletin : the journal of the International Actuarial Association
10
International journal of risk assessment and management : IJRAM
10
Operations research letters
10
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
Importance sampling for calculating the
Value-at-Risk
and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
3
Production planning with risk hedging under a conditional
value
at
risk
objective
Wang, Liao
;
Yao, David D.
- In:
Operations research
71
(
2023
)
4
,
pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
Saved in:
4
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
5
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
6
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
7
Systemic risk-driven portfolio selection
Capponi, Agostino
;
Rubtsov, Alexey
- In:
Operations research
70
(
2022
)
3
,
pp. 1598-1612
Persistent link: https://www.econbiz.de/10013366163
Saved in:
8
Estimation of expected shortfall using quantile regression : a comparison study
Christou, Eliana
;
Grabchak, Michael
- In:
Computational economics
60
(
2022
)
2
,
pp. 725-753
Persistent link: https://www.econbiz.de/10013380827
Saved in:
9
Tail risk early warning system for capital markets based on machine learning algorithms
Zhang, Zongxin
;
Chen, Ying
- In:
Computational economics
60
(
2022
)
3
,
pp. 901-923
Persistent link: https://www.econbiz.de/10013380850
Saved in:
10
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional
value-at-risk
approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
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