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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Financial services"
~subject:"Measurement"
~subject:"Schätztheorie"
~type:"article"
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Search: subject_exact:"Value at risk"
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Financial services
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Schätztheorie
Risikomaß
46
Risk measure
46
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27
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22
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22
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16
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Chen, Yanhong
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Centrone, Francesca
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International journal of theoretical and applied finance
Insurance / Mathematics & economics
119
Journal of risk
49
Risks : open access journal
43
European journal of operational research : EJOR
38
Journal of banking & finance
36
Finance research letters
26
The journal of risk model validation
25
Quantitative finance
24
Mathematics of operations research
19
Finance and stochastics
18
Mathematics and financial economics
17
Journal of econometrics
16
The journal of operational risk
15
Computational economics
14
Journal of financial econometrics
14
Scandinavian actuarial journal
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
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Journal of risk and financial management : JRFM
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Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Operations research
11
The North American journal of economics and finance : a journal of financial economics studies
11
International review of financial analysis
10
Journal of mathematical finance
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Operations research letters
10
The European journal of finance
10
ASTIN bulletin : the journal of the International Actuarial Association
8
International review of economics & finance : IREF
8
Journal of risk management in financial institutions
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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Applied economics
7
Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
7
Economic modelling
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International journal of forecasting
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Applied mathematical finance
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Journal of empirical finance
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
6
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:
7
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:
8
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:
9
Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
Saved in:
10
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:
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