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~person:"Daníelsson, Jón"
~person:"Embrechts, Paul"
~person:"Pérez Amaral, Teodosio"
~type_genre:"Article in journal"
~type_genre:"Working Paper"
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Search: subject:"Value at Risk"
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Risikomaß
74
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73
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42
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Daníelsson, Jón
Embrechts, Paul
Pérez Amaral, Teodosio
McAleer, Michael
91
Allen, David E.
40
Härdle, Wolfgang
33
Wang, Ruodu
32
Hammoudeh, Shawkat
29
Chang, Chia-Lin
26
Vries, Casper G. de
26
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25
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23
Powell, Robert
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Mittnik, Stefan
22
Caporin, Massimiliano
21
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21
Paolella, Marc S.
21
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19
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18
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17
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15
Tiwari, Aviral Kumar
15
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15
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14
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ECONIS (ZBW)
73
EconStor
3
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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
-
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:
3
Why risk is so hard to measure
Daníelsson, Jón
;
Chen Zhou
-
2016
Persistent link: https://www.econbiz.de/10011415993
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
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
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
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