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~person:"Mao, Tiantian"
~person:"Righi, Marcelo Brutti"
~subject:"Portfolio-Management"
~subject:"Risiko"
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Search: subject_exact:"VaR (Value at Risk)"
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Portfolio-Management
Risiko
Risikomaß
40
Risk measure
40
Risk
33
Theorie
28
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28
Measurement
26
Messung
26
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24
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22
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22
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9
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9
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8
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Mao, Tiantian
Righi, Marcelo Brutti
McAleer, Michael
36
Wang, Ruodu
36
Stoja, Evarist
27
Hammoudeh, Shawkat
22
Rosazza Gianin, Emanuela
22
Fabozzi, Frank J.
19
Pérez Amaral, Teodosio
19
Rüschendorf, Ludger
18
Vanduffel, Steven
18
Vries, Casper G. de
18
Brandtner, Mario
17
Härdle, Wolfgang
17
Polanski, Arnold
17
Cai, Jun
15
Daníelsson, Jón
15
Bellini, Fabio
12
Bernard, Carole
12
Dhaene, Jan
12
Embrechts, Paul
12
Huschens, Stefan
12
Janabi, Mazin A. M. al
12
Jiménez-Martín, Juan-Ángel
12
Kürsten, Wolfgang
12
Cheung, Ka Chun
11
Furman, Edward
11
Kim, Young Shin
11
Stoyanov, Stoyan V.
11
Tang, Qihe
11
Tsanakas, Andreas
11
Albrecht, Peter
10
Dowd, Kevin
10
Hyung, Namwon
10
Liu, Haiyan
10
Munari, Cosimo-Andrea
10
Račev, Svetlozar T.
10
Tiwari, Aviral Kumar
10
Uryasev, Stan
10
Allen, David E.
9
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8
ASTIN bulletin : the journal of the International Actuarial Association
2
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Journal of risk
2
Scandinavian actuarial journal
2
Application of operations research to financial markets
1
Applied mathematical finance
1
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ECONIS (ZBW)
33
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1
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
2
Risk measures-based cluster methods for finance
Guedes, Pablo Cristini
;
Müller, Fernanda Maria
;
Righi, …
- In:
Risk management : an international journal
25
(
2023
)
1
,
pp. 1-56
Persistent link: https://www.econbiz.de/10013490814
Saved in:
3
A theory for combinations of risk measures
Righi, Marcelo Brutti
- In:
Journal of risk
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014314623
Saved in:
4
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
5
Range-based risk measures and their applications
Righi, Marcelo Brutti
;
Müller, Fernanda Maria
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
3
,
pp. 636-657
Persistent link: https://www.econbiz.de/10014342970
Saved in:
6
A theory for combinations of risk measures
Righi, Marcelo Brutti
- In:
Journal of risk : JOR
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014487105
Saved in:
7
Is there a risk premium? : Evidence from thirteen measures
Fracasso, Laís Martins
;
Müller, Fernanda Maria
; …
- In:
The quarterly review of economics and finance : journal …
92
(
2023
),
pp. 182-199
Persistent link: https://www.econbiz.de/10014490275
Saved in:
8
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
9
Star-Shaped deviations
Righi, Marcelo Brutti
;
Moresco, Marlon Ruoso
- In:
Operations research letters
50
(
2022
)
5
,
pp. 548-554
Persistent link: https://www.econbiz.de/10013449444
Saved in:
10
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
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