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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Basel Accord"
~subject:"Measurement"
~type:"article"
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Basel Accord
Measurement
Risikomaß
46
Risk measure
46
Theorie
27
Theory
27
Portfolio selection
22
Portfolio-Management
22
Risiko
16
Risk
16
Risikomanagement
15
Risk management
15
Messung
14
Stochastic process
11
Stochastischer Prozess
11
Credit risk
6
Kreditrisiko
6
Option pricing theory
6
Optionspreistheorie
6
Estimation theory
5
Schätztheorie
5
Statistical distribution
5
Statistische Verteilung
5
Volatility
5
Volatilität
5
Basler Akkord
4
expected shortfall
4
Bank risk
3
Bankrisiko
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Derivat
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Derivative
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Estimation
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Financial services
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Finanzdienstleistung
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Schätzung
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Systemic risk
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Systemrisiko
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3
set-valued risk measures
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18
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18
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English
18
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Chen, Yanhong
2
Hu, Yijun
2
Rudloff, Birgit
2
Amini, Hamed
1
Ararat, Çağin
1
Auer, Benjamin R.
1
Centrone, Francesca
1
Cont, Rama
1
Guambe, Calisto
1
Hamel, Andreas
1
Huang, Zhenzhen
1
Jokhadze, Valeriane
1
Kalyvas, Lampros
1
Kim, Young Shin
1
Kromer, Eduard
1
Kufakunesu, Rodwell
1
Kwok, Yue-Kuen
1
Lépinette, Emmanuel
1
Löhne, Andreas
1
Mabitsela, Lesedi
1
Minca, Andreea
1
Möller, Philipp M.
1
Novak, Serguei Y.
1
Overbeck, Ludger
1
Rosazza Gianin, Emanuela
1
Rutkowski, Marek
1
Schmidt, Wolfgang M.
1
Schuhmacher, Frank
1
Sfetsos, Athanasios
1
Shi, Xiang
1
Stein, Harvey J.
1
Tahar, Imen Ben
1
Tarca, Silvio
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
111
Journal of banking & finance
38
Journal of risk
37
Risks : open access journal
35
European journal of operational research : EJOR
32
Mathematics of operations research
19
The journal of operational risk
18
Finance and stochastics
17
Mathematics and financial economics
17
Finance research letters
16
Quantitative finance
16
The journal of risk model validation
16
Journal of risk management in financial institutions
13
Scandinavian actuarial journal
12
International review of financial analysis
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
10
Operations research
10
Economic modelling
9
International review of economics & finance : IREF
9
Journal of forecasting
9
Astin bulletin : the journal of the International Actuarial Association
8
Journal of financial econometrics
8
Journal of international financial markets, institutions & money
8
Journal of risk and financial management : JRFM
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Operations research letters
8
The journal of credit risk : published quarterly by Incisive Media
8
ASTIN bulletin : the journal of the International Actuarial Association
7
Computational economics
7
Journal of financial stability
7
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
6
Applied economics
6
Applied economics letters
6
Risk measures for the 21st century
6
The European journal of finance
6
The North American journal of economics and finance : a journal of financial economics studies
6
Applied mathematical finance
5
Computational management science
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ECONIS (ZBW)
18
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
3
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
4
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:
5
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
6
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
7
Set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012270994
Saved in:
8
Set-valued law invariant coherent and convex risk measures
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012019780
Saved in:
9
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:
10
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
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