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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of risk model validation"
~subject:"Ausreißer"
~subject:"Credit risk"
~subject:"Measurement"
~subject:"Theorie"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Credit risk
Measurement
Theorie
Risikomaß
92
Risk measure
92
Theory
46
Portfolio selection
30
Portfolio-Management
30
Risikomanagement
26
Risk management
26
Risiko
24
Risk
24
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
Kreditrisiko
12
Estimation theory
11
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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Monte-Carlo-Simulation
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Probability theory
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English
60
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Bloxham, Nicholas
2
Filipović, Damir
2
Fischer, Matthias
2
Glasserman, Paul
2
Mitic, Peter
2
Abad, Pilar
1
Arai, Takuji
1
Arnsdorf, Matthias
1
Bardou, O.
1
Belkacem, Lotfi
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1
Biljon, L. van
1
Breeden, Joseph L.
1
Broda, Simon A.
1
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1
Cai, Chunlin
1
Calderín-Ojeda, Enrique
1
Cambou, Mathieu
1
Cascos, Ignacio
1
Ceretta, Sergio Paulo
1
Cerreia-Vioglio, Simone
1
Chambers, Christopher P.
1
Chen, Huiqiong
1
Chen, Jiun-Lin
1
Choi, Sun-Yong
1
Cialenco, Igor
1
Cohort, Pierre
1
Cong, Chang
1
Cooper, James
1
Costanzino, Nick
1
Cui, Kaijie
1
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1
Córdoba, A.
1
Denis, Laurent
1
Dobrinov, Nikolay
1
Doncic, Sanja
1
Du, Zunwei
1
Ekeland, Ivar
1
El Ghourabi, Mohamed
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of risk model validation
Insurance / Mathematics & economics
193
Journal of banking & finance
106
European journal of operational research : EJOR
96
Risks : open access journal
81
Journal of risk
60
Finance research letters
46
Quantitative finance
43
Economic modelling
41
Journal of empirical finance
38
Discussion paper / Tinbergen Institute
37
International review of financial analysis
37
International journal of theoretical and applied finance
35
Applied economics
34
International journal of forecasting
34
Finance and stochastics
28
Journal of risk and financial management : JRFM
28
The journal of operational risk
28
Computational economics
27
Scandinavian actuarial journal
27
The European journal of finance
27
Journal of econometrics
26
SFB 649 discussion paper
26
Mathematics and financial economics
25
Research paper series / Swiss Finance Institute
24
The journal of credit risk : published quarterly by Incisive Media
24
The North American journal of economics and finance : a journal of financial economics studies
23
Journal of economic dynamics & control
22
Journal of risk management in financial institutions
22
Energy economics
21
Mathematics of operations research
21
Operations research
21
Operations research letters
21
Astin bulletin : the journal of the International Actuarial Association
20
International review of economics & finance : IREF
20
Journal of forecasting
20
Applied economics letters
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Journal of financial econometrics
19
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ECONIS (ZBW)
60
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1
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:
2
Does the asymmetric exponential power distribution improve systemic risk measurement?
Wu, Shu
;
Chen, Huiqiong
;
Li, Helong
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10014485620
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
Expected shortfall model based on a neural network
Doncic, Sanja
;
Pantic, Nemanja
;
Lakićević, Marija
- In:
The journal of risk model validation
16
(
2022
)
2
,
pp. 63-83
Persistent link: https://www.econbiz.de/10014540573
Saved in:
6
Quantifying model selection risk in macroeconomic sensitivity models
Breeden, Joseph L.
;
Dobrinov, Nikolay
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 55-71
Persistent link: https://www.econbiz.de/10014540599
Saved in:
7
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:
8
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:
9
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:
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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