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~person:"Mittnik, Stefan"
~person:"Pérez Amaral, Teodosio"
~subject:"Kreditrisiko"
~subject:"Risikomaß"
~subject:"Volatilität"
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Kreditrisiko
Risikomaß
Volatilität
Risk measure
48
Basel Accord
33
Basler Akkord
33
Portfolio-Management
26
Portfolio selection
25
Forecasting model
21
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21
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17
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17
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Value at Risk
9
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2008-2009
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English
50
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Mittnik, Stefan
Pérez Amaral, Teodosio
McAleer, Michael
100
Allen, David E.
45
Wang, Ruodu
45
Härdle, Wolfgang
42
Stoja, Evarist
37
Fabozzi, Frank J.
32
Daníelsson, Jón
31
Hammoudeh, Shawkat
29
Chang, Chia-Lin
28
Vanduffel, Steven
28
Dowd, Kevin
27
Polanski, Arnold
27
Vries, Casper G. de
27
Powell, Robert
24
Caporin, Massimiliano
23
Jiménez-Martín, Juan-Ángel
23
Righi, Marcelo Brutti
23
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Huschens, Stefan
21
Paolella, Marc S.
21
Dhaene, Jan
20
Giot, Pierre
20
Wied, Dominik
20
Bernard, Carole
19
Dionne, Georges
19
Stoyanov, Stoyan V.
19
Brandtner, Mario
18
Lucas, André
18
Tsanakas, Andreas
18
Albrecht, Peter
17
Boonen, Tim J.
17
Mao, Tiantian
17
Schienle, Melanie
17
Cai, Jun
16
Chlebus, Marcin
16
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7
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3
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2
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1
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1
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1
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1
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1
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ECONIS (ZBW)
48
EconStor
2
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1
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng
;
Kim, Young Shin
;
Mittnik, Stefan
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-23
Hidden Markov Model. (ii) We use tail risk measures, namely conditional
value-at-risk
(CVaR) and conditional drawdown …
Persistent link: https://www.econbiz.de/10013273511
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
8
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009724104
Saved in:
9
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:
10
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:
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