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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Härdle, Wolfgang Karl"
~person:"Pérez Amaral, Teodosio"
~subject:"Value-at-Risk"
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Value-at-Risk
Risikomaß
86
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83
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50
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42
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42
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41
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Daníelsson, Jón
Embrechts, Paul
Härdle, Wolfgang Karl
Pérez Amaral, Teodosio
McAleer, Michael
20
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17
Chang, Chia-Lin
16
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14
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13
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11
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10
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10
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9
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9
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9
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9
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8
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8
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7
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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
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:
3
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:
4
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
5
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:
6
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:
7
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
Saved in:
8
Data Driven
Value-at-Risk
Forecasting using a SVR-GARCH-KDE Hybrid
Lux, Marius
;
Härdle, Wolfgang Karl
;
Lessmann, Stefan
-
2018
economy. One widely used financial risk measure is
Value-at-Risk
(VaR). VaR estimates based on linear and parametric models …
Persistent link: https://www.econbiz.de/10012433150
Saved in:
9
How Sensitive are Tail-related Risk Measures in a Contamination Neighbourhood?
Härdle, Wolfgang Karl
;
Ling, Chengxiu
-
2018
measures. This paper investigates the sensitivity of tail-related risk measures including the
Value-at-Risk
, expected shortfall …
Persistent link: https://www.econbiz.de/10012433159
Saved in:
10
Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Vries, Casper G. de
-
2001
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...
Persistent link: https://www.econbiz.de/10011317459
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