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~isPartOf:"Journal of banking & finance"
~person:"Brigo, Damiano"
~person:"McNeil, Alexander J."
~subject:"Prognoseverfahren"
~subject:"Risk management"
~subject:"Risk"
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Prognoseverfahren
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Brigo, Damiano
McNeil, Alexander J.
Weiß, Gregor
4
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3
Daníelsson, Jón
3
Dias, Alexandra
3
Armstrong, John
2
Bernard, Carole
2
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Journal of banking & finance
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ECONIS (ZBW)
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Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
Saved in:
2
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
3
Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
101
(
2019
),
pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
Saved in:
4
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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