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~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of banking & finance"
~isPartOf:"The journal of futures markets"
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Search: subject_exact:"Expected tail loss"
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Risikomaß
253
Risk measure
253
Theorie
117
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94
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94
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68
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67
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Weiß, Gregor
5
Daníelsson, Jón
4
Harris, Richard D. F.
4
Pérignon, Christophe
4
Bali, Turan G.
3
Brandtner, Mario
3
Dias, Alexandra
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2
Armstrong, John
2
Bernard, Carole
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Cui, Xueting
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Gordy, Michael B.
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Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
1
Università degli studi di Roma "La Sapienza"
1
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International journal of forecasting
Journal of banking & finance
The journal of futures markets
Insurance / Mathematics & economics
217
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123
European journal of operational research : EJOR
111
Risks : open access journal
106
Finance research letters
103
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74
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55
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ECONIS (ZBW)
253
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31
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
32
Forecasting macroeconomic risks
Adams, Patrick A.
;
Adrian, Tobias
;
Boyarchenko, Nina
; …
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1173-1191
Persistent link: https://www.econbiz.de/10012794835
Saved in:
33
Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao
;
Chen Zhou
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
Saved in:
34
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
35
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
36
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
37
Downside risk and the performance of volatility-managed portfolios
Wang, Feifei
;
Yan, Xuemin Sterling
- In:
Journal of banking & finance
131
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013365948
Saved in:
38
Measuring banks' liquidity risk : an option-pricing approach
Zhang, Jinqing
;
He, Liang
;
An, Yunbi
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012221063
Saved in:
39
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
40
Predicting loss given default in leasing : a closer look at models and variable selection
Kaposty, Florian
;
Kriebel, Johannes Maximilian
; …
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 248-266
Persistent link: https://www.econbiz.de/10012414715
Saved in:
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