//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Portfolio selection"
~subject:"Risikomanagement"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value at Risk"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Portfolio selection
Risikomanagement
Risikomaß
42
Risk measure
42
Theorie
22
Theory
22
Estimation
15
Schätzung
15
Statistical distribution
15
Statistische Verteilung
15
Value-at-Risk
15
Portfolio-Management
14
Value at risk
14
Estimation theory
13
Risk management
13
Schätztheorie
13
ARCH model
11
ARCH-Modell
11
Capital income
9
Kapitaleinkommen
9
Volatility
9
Volatilität
9
Risk
8
Time series analysis
8
Value-at-risk
8
Zeitreihenanalyse
8
Risiko
7
Stochastic process
7
Stochastischer Prozess
7
Ausreißer
6
Forecasting model
6
Optimal reinsurance
6
Outliers
6
Prognoseverfahren
6
Extreme value theory
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Regression analysis
5
Regressionsanalyse
5
Risk measures
5
more ...
less ...
Online availability
All
Undetermined
13
Free
1
Type of publication
All
Article
17
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
17
Aufsatz in Zeitschrift
17
Conference paper
1
Konferenzbeitrag
1
Language
All
English
18
Author
All
Francq, Christian
2
Hong, Yongmiao
2
Zakoïan, Jean-Michel
2
Zhang, Zhengjun
2
Bandi, Federico M.
1
Bertail, Patrice
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Daouia, Abdelaati
1
Diebold, Francis X.
1
Egorov, Alexej V.
1
Girard, Stéphane
1
Häfke, Christian
1
Härdle, Wolfgang
1
Jiménez-Martín, Juan-Ángel
1
Li, Haitao
1
Li, Hengxin
1
Liu, Yanhui
1
Luati, Alessandra
1
Luciano, Elisa
1
Maasoumi, Esfandiar
1
Paolella, Marc S.
1
Patton, Andrew J.
1
Polak, Pawel
1
Politis, Dimitris N.
1
Pérez Amaral, Teodosio
1
Regis, Luca
1
Renò, Roberto
1
So, Mike Ka-pui
1
Stupfler, Gilles
1
Walker, Patrick S.
1
Wang, Ruodu
1
Wang, Shouyang
1
Wang, Weining
1
Wang, Zhicheng
1
more ...
less ...
Published in...
All
Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
137
Journal of banking & finance
105
European journal of operational research : EJOR
79
Risks : open access journal
76
Journal of risk
69
Finance research letters
62
Economic modelling
44
International review of financial analysis
42
Quantitative finance
42
The journal of risk model validation
36
The North American journal of economics and finance : a journal of financial economics studies
35
Discussion paper / Tinbergen Institute
33
Energy economics
33
Journal of risk and financial management : JRFM
32
International journal of theoretical and applied finance
30
Applied economics
29
The journal of operational risk
28
Journal of empirical finance
25
The European journal of finance
24
Computational economics
23
Journal of risk management in financial institutions
23
International journal of forecasting
22
International review of economics & finance : IREF
22
Journal of economic dynamics & control
22
Finance and stochastics
20
Research in international business and finance
20
Research paper series / Swiss Finance Institute
20
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Operations research
18
Journal of international financial markets, institutions & money
17
Journal of mathematical finance
17
SpringerLink / Bücher
17
The journal of asset management
16
Working papers
16
Econometric Institute research papers
15
The journal of credit risk : published quarterly by Incisive Media
15
Applied economics letters
14
Mathematics and financial economics
14
Scandinavian actuarial journal
14
more ...
less ...
Source
All
ECONIS (ZBW)
18
Showing
1
-
10
of
18
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
3
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
6
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
7
Dynamic semiparametric models for expected shortfall (and
Value-at-Risk
)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
8
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
9
Mark to market
value
at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
10
Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (
Value
at
)
Risk
Luciano, Elisa
-
2014
This paper provides a closed-form
Value-at-Risk
(VaR) for the net exposure of an annuity provider, taking into account …
Persistent link: https://www.econbiz.de/10013046884
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->