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~isPartOf:"Quantitative finance"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Ausreißer"
~subject:"Credit risk"
~subject:"Mathematical programming"
~subject:"Measurement"
~subject:"Theorie"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Ausreißer
Credit risk
Mathematical programming
Measurement
Theorie
Risikomaß
88
Risk measure
88
Theory
64
Portfolio selection
53
Portfolio-Management
53
Risiko
47
Risk
47
Messung
29
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29
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29
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English
73
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Cheung, Ka Chun
4
Zhang, Yiying
3
Boonen, Tim J.
2
Brandtner, Mario
2
Chen, Qian
2
Dhaene, Jan
2
Gerlach, Richard
2
Härdle, Wolfgang
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Kürsten, Wolfgang
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Mao, Tiantian
2
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2
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2
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1
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1
Auer, Benjamin R.
1
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1
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1
Bianchi, Michele Leonardo
1
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1
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1
Buccioli, Alice
1
Cai, Jun
1
Chen, An
1
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1
Chi, Yichun
1
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1
Chávez-Bedoya, Luis
1
Coculescu, Delia
1
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1
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1
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Delage, Erick
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Delbaen, Freddy
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Deng, Kaihua
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1
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1
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1
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1
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Quantitative finance
Scandinavian actuarial journal
Insurance / Mathematics & economics
195
Journal of banking & finance
109
European journal of operational research : EJOR
103
Risks : open access journal
83
Journal of risk
61
Finance research letters
48
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
36
The journal of risk model validation
35
Applied economics
34
International journal of forecasting
34
Journal of risk and financial management : JRFM
29
Finance and stochastics
28
The journal of operational risk
28
Computational economics
27
The European journal of finance
27
Journal of econometrics
26
SFB 649 discussion paper
26
Mathematical finance : an international journal of mathematics, statistics and financial theory
25
Mathematics and financial economics
25
Research paper series / Swiss Finance Institute
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
The journal of credit risk : published quarterly by Incisive Media
24
Journal of economic dynamics & control
23
Operations research
23
The North American journal of economics and finance : a journal of financial economics studies
23
Energy economics
22
Journal of risk management in financial institutions
22
Mathematics of 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 financial econometrics
20
Journal of forecasting
20
Applied economics letters
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ECONIS (ZBW)
73
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1
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
2
Some optimisation problems in insurance with a terminal distribution constraint
Colaneri, Katia
;
Eisenberg, Julia
;
Salterini, Benedetta
- In:
Scandinavian actuarial journal
2023
(
2023
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10014383890
Saved in:
3
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
4
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
5
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
6
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
7
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
8
Group cohesion under individual regulatory constraints
Coculescu, Delia
;
Delbaen, Freddy
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
Saved in:
9
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
10
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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