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~isPartOf:"Dresdner Beiträge zu quantitativen Verfahren"
~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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Probability theory
Theorie
Risikomaß
39
Risk measure
39
Theory
35
Credit risk
24
Kreditrisiko
24
Portfolio selection
18
Portfolio-Management
18
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9
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credit risk
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Huschens, Stefan
13
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2
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Dresdner Beiträge zu quantitativen Verfahren
The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
176
European journal of operational research : EJOR
86
Journal of banking & finance
83
Risks : open access journal
70
Journal of risk
43
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37
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35
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33
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31
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28
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27
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26
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25
SFB 649 discussion paper
25
Scandinavian actuarial journal
25
Journal of risk and financial management : JRFM
24
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Journal of econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
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The European journal of finance
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Computational economics
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Mathematics and financial economics
21
The journal of operational risk
21
Journal of economic dynamics & control
20
Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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Journal of forecasting
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Mathematics of operations research
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Operations research
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SpringerLink / Bücher
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Journal of risk management in financial institutions
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ECONIS (ZBW)
35
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1
Risikomaße
Huschens, Stefan
-
2017
Persistent link: https://www.econbiz.de/10013441255
Saved in:
2
Art-secured lending : a risk analysis framework
Charlin, Ventura
;
Cifuentes, Arturo
- In:
The journal of credit risk : published quarterly by …
16
(
2020
)
2
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
Saved in:
3
Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
Saved in:
4
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
5
Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang
;
Choe, SuBang
;
Zhu, Ji
;
Bewick, Jill
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
2
,
pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
Saved in:
6
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
Saved in:
7
Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June
;
Kim, Sunggon
;
Lee, Yonghee
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
Saved in:
8
Primary-firm-driven portfolio loss
Turnbull, Stuart M.
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
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9
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian
;
Löderbusch, Matthias
;
Maciag, Jakob
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
1
,
pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
Saved in:
10
A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna
;
Jakob, Kevin
;
Fischer, Matthias
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
1
,
pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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