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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
173
European journal of operational research : EJOR
86
Journal of banking & finance
83
Risks : open access journal
69
Journal of risk
41
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33
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SFB 649 discussion paper
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The European journal of finance
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Computational economics
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Journal of econometrics
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Mathematics and financial economics
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Journal of economic dynamics & control
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Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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Journal of forecasting
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Mathematics of operations research
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Journal of risk management in financial institutions
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Dresdner Beiträge zu quantitativen Verfahren
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1
Art-secured lending : a risk analysis framework
Charlin, Ventura
;
Cifuentes, Arturo
- In:
The journal of credit risk : published quarterly by …
16
(
2020
)
2
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
Saved in:
2
Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
Saved in:
3
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
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4
Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang
;
Choe, SuBang
;
Zhu, Ji
;
Bewick, Jill
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
2
,
pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
Saved in:
5
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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6
Model uncertainty and scenario aggregation
Cambou, Mathieu
;
Filipović, Damir
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 534-567
Persistent link: https://www.econbiz.de/10011752528
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7
Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June
;
Kim, Sunggon
;
Lee, Yonghee
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
Saved in:
8
Primary-firm-driven portfolio loss
Turnbull, Stuart M.
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
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9
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian
;
Löderbusch, Matthias
;
Maciag, Jakob
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
1
,
pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
Saved in:
10
Comparing local risks by acceptance and rejection
Schreiber, Amnon
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 412-430
Persistent link: https://www.econbiz.de/10011577169
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