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~person:"Chang, Chia-Lin"
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Search: subject:"value at risk."
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Risikomaß
28
Basel Accord
26
Risk measure
26
VIX futures
18
Basler Akkord
16
Value-at-Risk
16
Volatility
14
Volatilität
12
risk management
10
ARCH model
8
ARCH-Modell
8
Dynamic price integration
8
Portfolio-Management
8
Spillover-Effekt
8
daily capital charges
8
mixture models
8
quantiles
8
violation penalties
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BRICS
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Median strategy
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Portfolio selection
7
Risk management
7
Spillover effect
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aggressive risk management
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conservative risk management
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optimizing strategy
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Bank
6
Basel III Accord
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Credit risk
6
Currency hedging strategies
6
Derivat
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Derivative
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Finanzkrise
6
Kreditderivat
6
extreme value methodologies
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global financial crisis
6
value-at-risk
6
Bibliometrie
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Credit derivative
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Financial crisis
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Free
40
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Article
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18
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18
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18
Article in journal
4
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4
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English
34
Undetermined
17
Author
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Chang, Chia-Lin
McAleer, Michael
194
Allen, David E.
59
Härdle, Wolfgang
58
Wang, Ruodu
50
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Fabozzi, Frank J.
38
Vries, Casper G. de
38
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Vanduffel, Steven
28
Caporin, Massimiliano
27
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Rüschendorf, Ludger
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Stoyanov, Stoyan V.
23
Brandtner, Mario
22
Broll, Udo
22
Dionne, Georges
22
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
5
Department of Economics and Finance, College of Business and Economics
4
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
Institute of Economic Research, Kyoto University
4
Tinbergen Instituut
2
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Econometric Institute research papers
9
Documentos de Trabajo del ICAE
5
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5
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4
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4
Tinbergen Institute Discussion Papers
2
Energy economics
1
Journal of econometrics
1
Managerial finance
1
Mathematics and Computers in Simulation (MATCOM)
1
The North American Journal of Economics and Finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
USC-INET Research Paper
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ECONIS (ZBW)
26
RePEc
21
EconStor
4
Showing
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10
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51
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1
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:
2
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:
3
Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin
-
2016
We compare
Value
at
Risk
(VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently …) recommends bank risk managers to shift the current quantitative risk metrics system, based on
Value-at-Risk
(VaR), to Expected …
Persistent link: https://www.econbiz.de/10012996938
Saved in:
4
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
5
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
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
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009744769
Saved in:
8
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724823
Saved in:
9
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009701642
Saved in:
10
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
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