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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~subject:"Theory"
~subject:"Volatilität"
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Search: subject:"Value at Risk"
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Volatilität
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83
Risk measure
82
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42
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41
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35
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33
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
44
Wang, Ruodu
40
Härdle, Wolfgang
34
Rosazza Gianin, Emanuela
23
Vanduffel, Steven
22
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21
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21
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18
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17
Caporin, Massimiliano
17
Dhaene, Jan
17
Righi, Marcelo Brutti
17
Vries, Casper G. de
17
Brandtner, Mario
16
Dowd, Kevin
16
Hammoudeh, Shawkat
15
Paolella, Marc S.
15
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14
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13
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13
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13
Cheung, Ka Chun
13
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13
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13
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Račev, Svetlozar T.
13
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13
Giot, Pierre
12
Mao, Tiantian
12
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12
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12
Yoshiba, Toshinao
12
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11
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11
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11
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ECONIS (ZBW)
49
EconStor
1
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1
Robustness in the Optimization of Risk Measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
-
2021
the industry,
Value-at-Risk
(VaR) and Expected Shortfall (ES). We establish that for a class of general optimization …
Persistent link: https://www.econbiz.de/10013235019
Saved in:
2
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:
3
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:
4
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
Saved in:
5
Quantile-based risk sharing with heterogeneous beliefs
Embrechts, Paul
;
Liu, Haiyan
;
Mao, Tiantian
;
Wang, Ruodu
-
2017
equivalent to equilibrium allocations, and the equilibrium price is unique. For
Value-at-Risk
(VaR) agents or mixed VaR and ES …
Persistent link: https://www.econbiz.de/10011875652
Saved in:
6
Quantile-Based Risk Sharing
Embrechts, Paul
-
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/10012969842
Saved in:
7
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:
8
Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures
Embrechts, Paul
-
2015
Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance,
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10013029101
Saved in:
9
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:
10
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
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