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~isPartOf:"The journal of risk model validation"
~subject:"Portfolio selection"
~subject:"Risk measure"
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Portfolio selection
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Risikomaß
95
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44
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30
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Operations research letters
The journal of risk model validation
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Finance research letters
110
Risks : open access journal
108
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74
International review of financial analysis
74
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72
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67
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Journal of economic dynamics & control
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SFB 649 discussion paper
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Applied economics letters
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ECONIS (ZBW)
95
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95
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1
A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution
In:
The journal of risk model validation
18
(
2024
)
1
,
pp. 83-96
Persistent link: https://www.econbiz.de/10014556673
Saved in:
2
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:
3
Almost exact risk budgeting with return forecasts for portfolio allocation
Bhardwaj, Avinash
;
Hanawal, Manjesh K.
;
Parthasarathy, …
- In:
Operations research letters
51
(
2023
)
2
,
pp. 171-175
Persistent link: https://www.econbiz.de/10014311844
Saved in:
4
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:
5
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
6
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:
7
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:
8
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:
9
On approximations of data-driven chance constrained programs over Wasserstein balls
Chen, Zhi
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Operations research letters
51
(
2023
)
3
,
pp. 226-233
Persistent link: https://www.econbiz.de/10014374834
Saved in:
10
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
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