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~person:"Betz, Frank"
~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Value-at-Risk"
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Value-at-Risk
Risikomaß
86
Risk measure
85
Theorie
43
Basler Akkord
42
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41
Theory
41
Risikomanagement
35
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33
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23
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robustness
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Betz, Frank
Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
20
Gerlach, Richard
17
Chang, Chia-Lin
16
Wang, Ruodu
14
Vries, Casper G. de
13
Ardia, David
11
Hoogerheide, Lennart
10
Härdle, Wolfgang
10
Lindé, Jesper
10
Roszbach, Kasper
10
Dijk, Herman K. van
9
Hoogerheide, Lennart F.
9
Jacobson, Tor
9
Mittnik, Stefan
9
Hautsch, Nikolaus
8
Härdle, Wolfgang Karl
8
Puccetti, Giovanni
8
Borowska, Agnieszka
7
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7
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7
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7
Rüschendorf, Ludger
7
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7
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6
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6
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6
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6
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6
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6
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6
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6
Schienle, Melanie
6
Stange, Sebastian
6
Allen, David E.
5
Bauwens, Luc
5
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5
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ECONIS (ZBW)
13
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11
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6
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1
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
-
2017
-
This version: October 24, 2017
-called Range-
Value-at-Risk
(RVaR), as their preferences. The family of RVaR includes the
Value-at-Risk
(VaR) and the Expected …
Persistent link: https://www.econbiz.de/10011874813
Saved in:
2
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank
;
Hautsch, Nikolaus
;
Peltonen, Tuomo
; …
-
2016
We propose a framework for estimating time-varying systemic risk contributions that is applicable to a high-dimensional and interconnected financial system. Tail risk dependencies and systemic risk contributions are estimated using a penalized two-stage fixed-effects quantile approach, which...
Persistent link: https://www.econbiz.de/10011414705
Saved in:
3
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
4
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10010532611
Saved in:
5
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank
;
Hautsch, Nikolaus
;
Peltonen, Tuomo
; …
-
2014
We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links...
Persistent link: https://www.econbiz.de/10010411283
Saved in:
6
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
7
Model risk of risk models
Daníelsson, Jón
;
James, Kevin
;
Valenzuela, Marcela
; …
- In:
Journal of financial stability
23
(
2016
),
pp. 79-91
Persistent link: https://www.econbiz.de/10011703816
Saved in:
8
Systemic risk spillovers in the European banking and sovereign network
Betz, Frank
;
Hautsch, Nikolaus
;
Peltonen, Tuomo
; …
- In:
Journal of financial stability
25
(
2016
),
pp. 206-224
Persistent link: https://www.econbiz.de/10011704905
Saved in:
9
A stochastic dominance approach to financial risk management strategies
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011499744
Saved in:
10
An academic response to Basel 3.5
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
; …
- In:
Risks : open access journal
2
(
2014
)
1
,
pp. 25-48
). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10010338097
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