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~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~subject:"Probability theory"
~subject:"Statistische Verteilung"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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19
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19
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12
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The journal of credit risk : published quarterly by Incisive Media
Insurance / Mathematics & economics
190
Journal of banking & finance
96
European journal of operational research : EJOR
87
Risks : open access journal
75
Journal of risk
54
Finance research letters
45
International journal of forecasting
44
Economic modelling
43
Discussion paper / Tinbergen Institute
41
Quantitative finance
41
Journal of empirical finance
40
Applied economics
33
International review of financial analysis
32
The journal of operational risk
31
The journal of risk model validation
31
Journal of econometrics
29
International journal of theoretical and applied finance
28
Journal of risk and financial management : JRFM
28
Scandinavian actuarial journal
27
Research paper series / Swiss Finance Institute
26
SFB 649 discussion paper
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Finance and stochastics
25
The European journal of finance
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Energy economics
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Journal of forecasting
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Journal of economic dynamics & control
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Working papers
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Journal of financial econometrics
21
Mathematics and financial economics
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Astin bulletin : the journal of the International Actuarial Association
20
Operations research letters
20
The North American journal of economics and finance : a journal of financial economics studies
20
Journal of risk management in financial institutions
19
Mathematics of operations research
19
Operations research
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
SpringerLink / Bücher
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ECONIS (ZBW)
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1
Art-secured lending : a risk analysis framework
Charlin, Ventura
;
Cifuentes, Arturo
- In:
The journal of credit risk : published quarterly by …
16
(
2020
)
2
,
pp. 67-93
Persistent link: https://www.econbiz.de/10012298997
Saved in:
2
Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
Saved in:
3
Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
4
Modeling dependent risk factors with CreditRisk+
Zhang, Xiaohang
;
Choe, SuBang
;
Zhu, Ji
;
Bewick, Jill
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
2
,
pp. 29-43
Persistent link: https://www.econbiz.de/10011917573
Saved in:
5
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
Saved in:
6
Portfolio credit risk model with extremal dependence of defaults and random recovery
Jeon, Jong-June
;
Kim, Sunggon
;
Lee, Yonghee
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011777675
Saved in:
7
Primary-firm-driven portfolio loss
Turnbull, Stuart M.
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
Saved in:
8
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian
;
Löderbusch, Matthias
;
Maciag, Jakob
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
1
,
pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
Saved in:
9
A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna
;
Jakob, Kevin
;
Fischer, Matthias
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
1
,
pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
Saved in:
10
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Tasche, Dirk
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10011597894
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