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~isPartOf:"The journal of risk model validation"
~subject:"Estimation theory"
~subject:"Finanzkrise"
~subject:"Kreditrisiko"
~subject:"Risk"
~subject:"Volatilität"
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Estimation theory
Finanzkrise
Kreditrisiko
Risk
Volatilität
Risikomaß
60
Risk measure
60
Theorie
21
Theory
21
Risikomanagement
20
Risk management
20
Portfolio selection
18
Portfolio-Management
18
ARCH model
15
ARCH-Modell
15
Statistical distribution
13
Statistische Verteilung
13
value-at-risk (VaR)
13
Credit risk
11
Estimation
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Measurement
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Risiko
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Schätztheorie
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backtesting
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value-at-risk
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The journal of risk model validation
Insurance / Mathematics & economics
140
Journal of banking & finance
94
Finance research letters
68
Risks : open access journal
68
European journal of operational research : EJOR
66
Journal of risk
65
Energy economics
49
The North American journal of economics and finance : a journal of financial economics studies
48
Discussion paper / Tinbergen Institute
40
International review of financial analysis
39
Economic modelling
38
Quantitative finance
35
Journal of risk and financial management : JRFM
32
International journal of forecasting
30
International review of economics & finance : IREF
30
Applied economics
28
International journal of theoretical and applied finance
28
Journal of empirical finance
28
Journal of econometrics
27
Computational economics
25
The European journal of finance
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of international financial markets, institutions & money
23
Journal of risk management in financial institutions
23
Journal of forecasting
22
Mathematics of operations research
22
Finance and stochastics
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of mathematical finance
20
Research paper series / Swiss Finance Institute
20
Scandinavian actuarial journal
20
Working paper
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Operations research
19
Pacific-Basin finance journal
19
Econometric Institute research papers
18
Journal of economic dynamics & control
18
Research in international business and finance
18
Mathematics and financial economics
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ECONIS (ZBW)
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1
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:
2
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:
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
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:
6
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:
7
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
Saved in:
8
Old-fashioned parametric models are still the best : a comparison of
value-at-risk
approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
9
An empirical evaluation of large dynamic covariance models in portfolio
value-at-risk
estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
10
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
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