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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Basel Accord"
~subject:"Volatilität"
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Search: subject:"Value at Risk"
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Basel Accord
Volatilität
Risikomaß
83
Risk measure
82
Theorie
43
Basler Akkord
42
Theory
41
Risikomanagement
35
Risk management
33
Portfolio-Management
31
Portfolio selection
30
Value-at-Risk
24
Risiko
23
Risk
23
Financial crisis
20
Finanzkrise
20
Forecasting model
20
Prognoseverfahren
20
Welt
16
World
15
Volatility
14
Bank risk
13
Bankrisiko
13
Financial services
9
Finanzdienstleistung
9
Ausreißer
8
Outliers
8
Statistical distribution
8
Statistische Verteilung
8
expected shortfall
8
ARCH model
7
ARCH-Modell
7
Daily capital charges
7
Measurement
7
Messung
7
Value-at-Risk (VaR)
7
robustness
7
Global financial crisis
6
Optimizing strategy
6
Schätzung
6
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30
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6
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Article
17
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32
Graue Literatur
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15
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English
50
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
89
Chang, Chia-Lin
34
Jiménez-Martín, Juan-Ángel
27
Allen, David E.
19
Hammoudeh, Shawkat
14
Caporin, Massimiliano
13
Hassani, Samir Saissi
10
Jimenez-Martin, Juan-Angel
10
Mittnik, Stefan
10
Dionne, Georges
9
Härdle, Wolfgang
9
Mensi, Walid
9
Paolella, Marc S.
9
Wang, Ruodu
9
Asai, Manabu
8
Scharth, Marcel
8
Xu, Dinghai
8
Ardia, David
7
Gupta, Rangan
7
Maasoumi, Esfandiar
7
Wirjanto, Tony S.
7
Bee, Marco
6
Bianchi, Michele Leonardo
6
Bollerslev, Tim
6
Casarin, Roberto
6
Degiannakis, Stavros
6
Fabozzi, Frank J.
6
Giot, Pierre
6
Guégan, Dominique
6
Haas, Markus
6
Ji, Qiang
6
Kang, Sang Hoon
6
Kumar, Dilip
6
Liu, Bing-Yue
6
Olmo, Jose
6
Rösch, Daniel
6
Al-Yahyaee, Khamis Hamed
5
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Econometric Institute research papers
11
Discussion paper / Tinbergen Institute
10
Working paper
7
Journal of banking & finance
2
Journal of forecasting
2
DNB working paper
1
Finance and stochastics
1
IMES discussion paper series / Englische Ausgabe
1
International review of economics & finance : IREF
1
Journal of econometrics
1
Journal of economic surveys
1
Journal of financial stability
1
Journal of risk
1
Managerial finance
1
Monetary and economic studies
1
Operations research
1
Research paper series / Swiss Finance Institute
1
Risk management : a modern perspective
1
Risk measures for the 21st century
1
Risks : open access journal
1
Special paper series / London School of Economics and Political Science, Financial Markets Group
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
49
EconStor
1
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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
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
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
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:
6
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:
7
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
8
GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel
;
McAleer, Michael
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009765824
Saved in:
9
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
10
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009724104
Saved in:
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