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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Portfolio selection"
~type_genre:"Arbeitspapier"
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Search: subject:"Value at Risk"
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Portfolio selection
Risikomaß
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17
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
22
Jiménez-Martín, Juan-Ángel
9
Vries, Casper G. de
9
Hyung, Namwon
7
Allen, David E.
6
Fortin, Ines
6
Hlouskova, Jaroslava
6
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6
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5
Chang, Chia-Lin
5
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5
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5
Härdle, Wolfgang
5
Weigert, Florian
5
Daouia, Abdelaati
4
Giot, Pierre
4
Girard, Stéphane
4
Gouriéroux, Christian
4
Hammoudeh, Shawkat
4
Lucas, André
4
Pesaran, M. Hashem
4
Zaffaroni, Paolo
4
Billio, Monica
3
Bi̇rbi̇l, Ş. İlker
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Chen Zhou
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Chlebus, Marcin
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Düllmann, Klaus
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3
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3
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3
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6
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5
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1
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1
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ECONIS (ZBW)
17
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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
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:
3
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
4
Has the Basel Accord improved risk management during the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
-
Revised: October 2012
Persistent link: https://www.econbiz.de/10010360666
Saved in:
5
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
Persistent link: https://www.econbiz.de/10010360674
Saved in:
6
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
7
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2011
selecting a
Value-at-Risk
(VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …
Persistent link: https://www.econbiz.de/10008936147
Saved in:
8
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009012232
Saved in:
9
GFC-robust risk management under the Basel Accord using extreme value methodologies
Santos, Paulo Araújo
;
Jiménez-Martín, Juan-Ángel
; …
-
2011
Persistent link: https://www.econbiz.de/10009413652
Saved in:
10
Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
-
2009
to measure
Value-at-Risk
(VaR). The risk estimates of these models are used to determine capital requirements and …
Persistent link: https://www.econbiz.de/10011378354
Saved in:
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