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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of mathematical finance"
~subject:"Statistical distribution"
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Search: subject_exact:"Value at risk"
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Statistical distribution
Risikomaß
72
Risk measure
72
Theorie
41
Theory
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32
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32
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28
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28
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Credit risk
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Ané, Thierry
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Kim, Young Shin
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International journal of theoretical and applied finance
Journal of mathematical finance
Insurance / Mathematics & economics
76
Journal of banking & finance
30
International journal of forecasting
25
Risks : open access journal
24
The journal of operational risk
20
Journal of risk
18
Economic modelling
16
Finance research letters
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Applied economics
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Journal of econometrics
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Journal of empirical finance
15
International review of financial analysis
13
The journal of risk model validation
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Journal of financial econometrics
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Quantitative finance
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Scandinavian actuarial journal
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European journal of operational research : EJOR
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Journal of forecasting
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Journal of risk and financial management : JRFM
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Astin bulletin : the journal of the International Actuarial Association
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Computational economics
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Energy economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
9
International review of economics & finance : IREF
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Pacific-Basin finance journal
8
Journal of risk management in financial institutions
6
ASTIN bulletin : the journal of the International Actuarial Association
5
Applied economics letters
5
Journal of international financial markets, institutions & money
5
Research in international business and finance
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Annals of financial economics
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International journal of finance & economics : IJFE
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Journal of applied econometrics
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Journal of international money and finance
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1
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
2
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
Saved in:
3
Drawdown measures and return moments
Möller, Philipp M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Saved in:
4
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
5
Efficient density estimation and value at risk using Fejér-type kernel functions
Kosta, Olga
;
Stepanova, Natalia
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 480-504
Persistent link: https://www.econbiz.de/10011440699
Saved in:
6
On historical value at risk under distribution uncertainty
Iizuka, Atsushi
;
Nakano, Yumiharu
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 113-118
Persistent link: https://www.econbiz.de/10011398743
Saved in:
7
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
8
Two-component extreme value distribution for Asia-Pacific stock index returns
Ané, Thierry
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 643-671
Persistent link: https://www.econbiz.de/10003378957
Saved in:
9
Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
Saved in:
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