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~isPartOf:"Quantitative finance"
~isPartOf:"Scandinavian actuarial journal"
~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
85
Risk measure
85
Theory
62
Portfolio selection
50
Portfolio-Management
50
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46
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46
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Cheung, Ka Chun
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Brandtner, Mario
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Chen, Qian
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Quantitative finance
Scandinavian actuarial journal
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
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
35
The journal of risk model validation
35
Applied economics
34
International journal of forecasting
34
Finance and stochastics
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Journal of risk and financial management : JRFM
28
The journal of operational risk
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SFB 649 discussion paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper series / Swiss Finance Institute
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The journal of credit risk : published quarterly by Incisive Media
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of economic dynamics & control
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Journal of risk management in financial institutions
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Energy economics
21
Mathematics of operations research
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Operations research
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Operations research letters
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Astin bulletin : the journal of the International Actuarial Association
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International review of economics & finance : IREF
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Applied economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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41
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
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42
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
43
Optimal asset allocation for participating contracts under the VaR and PI constraint
Dong, Yinghui
;
Wu, Sang
;
Lv, Wenxin
;
Wang, Guojing
- In:
Scandinavian actuarial journal
2020
(
2020
)
2
,
pp. 84-109
Persistent link: https://www.econbiz.de/10012195023
Saved in:
44
Risk discriminating portfolio optimization
Deshpande, Amit
;
Ertley, Brian
;
Lundin, Mark
;
Satchell, …
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 177-185
Persistent link: https://www.econbiz.de/10012194647
Saved in:
45
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
46
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
47
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
48
Operational risk quantified with spectral risk measures : a refined closed-form approximation
Tong, Bin
;
Diao, Xundi
;
Wu, Chongfeng
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1221-1242
Persistent link: https://www.econbiz.de/10012194759
Saved in:
49
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
50
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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