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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Risiko"
~type_genre:"Article in journal"
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
Wang, Ruodu
19
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18
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12
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ECONIS (ZBW)
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1
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
2
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:
3
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
4
Risk models-at-risk
Boucher, Christophe
;
Daníelsson, Jón
;
Kouontchou, …
- In:
Journal of banking & finance
44
(
2014
),
pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
Saved in:
5
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
Saved in:
6
On time-scaling of risk and the square-root-of-time rule
Daníelsson, Jón
;
Zigrand, Jean-Pierre
- In:
Journal of banking & finance
30
(
2006
)
10
,
pp. 2701-2713
Persistent link: https://www.econbiz.de/10003376422
Saved in:
7
Bounds for functions of dependent risks
Embrechts, Paul
;
Puccetti, Giovanni
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
Saved in:
8
Comparing downside risk measures for heavy tailed distributions
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Sarma, Mandira
; …
- In:
Economics letters
92
(
2006
)
2
,
pp. 202-208
Persistent link: https://www.econbiz.de/10003360851
Saved in:
9
The emperor has no clothes: limits to risk modelling
Daníelsson, Jón
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1273-1296
Persistent link: https://www.econbiz.de/10001688470
Saved in:
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