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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of risk model validation"
~language:"eng"
~subject:"Estimation theory"
~subject:"Kreditrisiko"
~subject:"Risiko"
~subject:"Risk"
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Estimation theory
Kreditrisiko
Risiko
Risk
Risikomaß
92
Risk measure
92
Theorie
46
Theory
46
Portfolio selection
30
Portfolio-Management
30
Risikomanagement
26
Risk management
26
Measurement
20
Messung
20
ARCH model
18
ARCH-Modell
18
Forecasting model
15
Prognoseverfahren
15
Statistical distribution
15
Statistische Verteilung
15
Volatility
14
Volatilität
14
Estimation
13
Schätzung
13
value-at-risk (VaR)
13
Credit risk
12
Schätztheorie
11
Basel Accord
9
Basler Akkord
9
backtesting
9
value-at-risk
7
Modellierung
6
Scientific modelling
6
Statistical test
6
Statistischer Test
6
Financial services
5
Finanzdienstleistung
5
Monte Carlo simulation
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Probability theory
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English
Author
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Chlebus, Marcin
2
Fischer, Matthias
2
Westgaard, Sjur
2
Arai, Takuji
1
Arhus, Gisle Hoel
1
Arnsdorf, Matthias
1
Arrieta, Daniel
1
Biljon, L. van
1
Buczy´nski, Mateusz
1
Buczyński, Mateusz
1
Cai, Chunlin
1
Calderín-Ojeda, Enrique
1
Cambou, Mathieu
1
Cascos, Ignacio
1
Cerreia-Vioglio, Simone
1
Chen, Jiun-Lin
1
Cong, Chang
1
Cui, Kaijie
1
Curcic, Nikola
1
Denis, Laurent
1
Du, Zunwei
1
Fałdziński, Marcin
1
Fei, Glenn
1
Fernández, Begoña
1
Filipović, Damir
1
Frittelli, Marco
1
Frydenberg, Marina
1
Frydenberg, Stein
1
Fukasawa, Masaaki
1
Georgiopoulos, Nick
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Glasserman, Paul
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Haasbroek, L. J.
1
Han, Chulwoo
1
Ho, Kung-Cheng
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Jacobs, Michael <Jr.>
1
Jadhav, Deepak
1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of risk model validation
Insurance / Mathematics & economics
140
Journal of banking & finance
70
European journal of operational research : EJOR
63
Risks : open access journal
61
Journal of risk
52
Finance research letters
50
Quantitative finance
33
Economic modelling
27
Discussion paper / Tinbergen Institute
26
International review of financial analysis
25
International journal of theoretical and applied finance
24
Mathematics of operations research
22
The North American journal of economics and finance : a journal of financial economics studies
22
Energy economics
21
Finance and stochastics
21
Journal of risk management in financial institutions
21
Journal of econometrics
20
Scandinavian actuarial journal
20
The journal of credit risk : published quarterly by Incisive Media
20
International review of economics & finance : IREF
19
Operations research
19
Computational economics
18
Journal of risk and financial management : JRFM
18
Applied economics
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Journal of mathematical finance
17
Mathematics and financial economics
17
Research paper series / Swiss Finance Institute
17
International journal of forecasting
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The European journal of finance
15
Journal of empirical finance
14
Journal of international financial markets, institutions & money
14
Pacific-Basin finance journal
14
Journal of financial econometrics
13
Astin bulletin : the journal of the International Actuarial Association
12
Journal of economic dynamics & control
11
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ECONIS (ZBW)
42
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1
The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
Saved in:
2
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
3
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
4
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
5
Estimating
value-at-risk
using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
6
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
7
Model risk qualification based on relative entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
Saved in:
8
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
9
Nonconvex noncash risk measures
Cong, Chang
;
Zhao, Peibiao
- In:
The journal of risk model validation
15
(
2021
)
2
,
pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
Saved in:
10
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
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