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Risikomaß
206
Risk measure
206
Theorie
104
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88
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62
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62
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Munari, Cosimo-Andrea
5
Rosazza Gianin, Emanuela
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4
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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"
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Journal of banking & finance
Mathematics and financial economics
Insurance / Mathematics & economics
218
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123
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115
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110
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67
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ECONIS (ZBW)
206
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1
An elementary proof of the dual representation of expected shortfall
Herdegen, Martin
;
Munari, Cosimo-Andrea
- In:
Mathematics and financial economics
17
(
2023
)
4
,
pp. 655-662
Persistent link: https://www.econbiz.de/10014448070
Saved in:
2
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
3
Non-concave portfolio optimization with average value-at-risk
Zhang, Fangyuan
- In:
Mathematics and financial economics
17
(
2023
)
2
,
pp. 203-237
Persistent link: https://www.econbiz.de/10014328920
Saved in:
4
The case for CASE : estimating heterogeneous systemic effects
Du, Zaichao
;
Escanciano, Juan Carlos
;
Zhu, Guangwei
- In:
Journal of banking & finance
157
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014490722
Saved in:
5
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
Saved in:
6
Machine-learning-enhanced systemic risk measure : a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013448776
Saved in:
7
Adjusted expected shortfall
Burzoni, Matteo
;
Munari, Cosimo-Andrea
;
Wang, Ruodu
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013399973
Saved in:
8
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
9
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
10
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
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