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~isPartOf:"Computational economics"
~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~subject:"Probability theory"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Risikomaß
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65
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22
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Computational economics
The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
176
European journal of operational research : EJOR
89
Journal of banking & finance
83
Risks : open access journal
71
Journal of risk
43
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39
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Finance research letters
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Journal of economic dynamics & control
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Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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1
GARCHNet: Value‑at‑risk forecasting with GARCH models based on neural networks
Buczynski, Mateusz
;
Chlebus, Marcin
- In:
Computational economics
63
(
2024
)
5
,
pp. 1949-1979
Persistent link: https://www.econbiz.de/10014550845
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2
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
3
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
4
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:
5
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:
6
Inaccurate value at risk estimations : bad modeling or inappropriate data?
Vasileiou, Evangelos
- In:
Computational economics
59
(
2022
)
3
,
pp. 1155-1171
Persistent link: https://www.econbiz.de/10013169235
Saved in:
7
Early warning of Chinese Yuan's exchange rate fluctuation and value at risk measure using neural network joint optimization algorithm
Xu, Zhaoyi
;
Zeng, Yuqing
;
Xue, Yangrong
;
Yang, Shenggang
- In:
Computational economics
60
(
2022
)
4
,
pp. 1293-1315
Persistent link: https://www.econbiz.de/10013445750
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
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
10
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
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