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~isPartOf:"Journal of risk"
~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~subject:"Probability theory"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Probability theory
Theorie
Risikomaß
148
Risk measure
148
Portfolio selection
69
Portfolio-Management
69
Theory
62
Risikomanagement
49
Risk management
49
Credit risk
31
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value-at-risk (VaR)
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expected shortfall (ES)
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risk management
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64
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Maciag, Jakob
3
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2
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Righi, Marcelo Brutti
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2
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1
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1
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Journal of risk
The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
176
European journal of operational research : EJOR
89
Journal of banking & finance
83
Risks : open access journal
71
Quantitative finance
39
Economic modelling
37
Finance research letters
37
Journal of empirical finance
35
International journal of forecasting
33
Discussion paper / Tinbergen Institute
31
International review of financial analysis
28
International journal of theoretical and applied finance
27
The journal of risk model validation
26
Finance and stochastics
25
SFB 649 discussion paper
25
Scandinavian actuarial journal
25
Journal of risk and financial management : JRFM
24
Applied economics
23
Journal of econometrics
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
22
The European journal of finance
22
Computational economics
21
Mathematics and financial economics
21
The journal of operational risk
21
Journal of economic dynamics & control
20
Operations research
20
Operations research letters
20
Astin bulletin : the journal of the International Actuarial Association
19
Journal of forecasting
19
Mathematics of operations research
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
SpringerLink / Bücher
17
Working papers
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Energy economics
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Journal of financial econometrics
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Journal of risk management in financial institutions
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Applied economics letters
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ECONIS (ZBW)
64
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1
An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai
;
Zhang, Fengtong
;
Liu, Xinyu
- In:
Journal of risk
25
(
2023
)
6
,
pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
Saved in:
2
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
3
A theory for combinations of risk measures
Righi, Marcelo Brutti
- In:
Journal of risk
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014314623
Saved in:
4
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
5
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
6
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
7
Modeling maxima with a regime-switching Fréchet model
Tan, Keqi
;
Chen, Yu
;
Chen, Pengzhan
- In:
Journal of risk
25
(
2022
)
2
,
pp. 27-45
Persistent link: https://www.econbiz.de/10014342458
Saved in:
8
A numerical approach to the risk capital allocation problem
Gzyl, Henryk
;
Mayoral, Silvia
- In:
Journal of risk
23
(
2021
)
5
,
pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
Saved in:
9
Optimization of systemic risk : reallocation of assets based on bank networks
Wang, Hu
;
Li, Shouwei
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 31-56
Persistent link: https://www.econbiz.de/10012500294
Saved in:
10
Fund size and the stability of portfolio risk
Ewen, Martin
;
Rieger, Marc Oliver
- In:
Journal of risk
22
(
2019/2020
)
6
,
pp. 65-87
Persistent link: https://www.econbiz.de/10012421711
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