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~person:"Righi, Marcelo Brutti"
~person:"Wang, Ruodu"
~subject:"Risiko"
~type_genre:"Article in journal"
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Search: subject_exact:"VaR (Value at Risk)"
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Risiko
Risikomaß
48
Risk measure
48
Theorie
40
Theory
40
Risk
37
Measurement
31
Messung
31
Portfolio selection
31
Portfolio-Management
31
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23
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23
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10
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8
Statistische Verteilung
8
Value-at-Risk
8
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7
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7
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6
expected shortfall
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risk measures
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Capital income
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Righi, Marcelo Brutti
Wang, Ruodu
Mao, Tiantian
12
Rosazza Gianin, Emanuela
12
Brandtner, Mario
9
Cai, Jun
9
Müller, Fernanda Maria
9
Cheung, Ka Chun
8
Furman, Edward
8
Pichler, Alois
8
Rüschendorf, Ludger
8
Tang, Qihe
8
Asimit, Alexandru V.
7
Bellini, Fabio
7
Kürsten, Wolfgang
7
Laeven, Roger J. A.
7
Rudloff, Birgit
7
Balbás de la Corte, Alejandro
6
Liu, Haiyan
6
Munari, Cosimo-Andrea
6
Peng, Liang
6
Xu, Huifu
6
Boonen, Tim J.
5
Bäuerle, Nicole
5
Chen, Zhiping
5
Delage, Erick
5
Embrechts, Paul
5
Feinstein, Zachary
5
Guillén, Montserrat
5
Hu, Taizhong
5
Jiang, Wenjun
5
Landsman, Zinoviy
5
Long, Huaigang
5
Puccetti, Giovanni
5
Sarabia Alzaga, José Maria
5
Stoja, Evarist
5
Su, Jianxi
5
Vanduffel, Steven
5
Yang, Fan
5
Almeida, Caio
4
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Insurance / Mathematics & economics
5
Finance and stochastics
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Operations research
3
Finance research letters
2
Journal of risk
2
Mathematics of operations research
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Applied mathematical finance
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Astin bulletin : the journal of the International Actuarial Association
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1
International review of economics & finance : IREF
1
International review of financial analysis
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1
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1
Journal of forecasting
1
Journal of risk : JOR
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Operations research letters
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Revista Brasileira de Finanças : RBFin
1
Risk management : a journal of risk, crisis and disaster
1
Risk management : an international journal
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
37
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1
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10
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37
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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 concentration and the mean-expected shortfall criterion
Han, Xia
;
Wang, Bin
;
Wang, Ruodu
;
Wu, Qinyu
- In:
Mathematical finance : an international journal of …
34
(
2024
)
3
,
pp. 819-846
Persistent link: https://www.econbiz.de/10014565286
Saved in:
3
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
Saved in:
4
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:
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
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014314623
Saved in:
7
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:
8
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:
9
Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu
;
Liu, Peng
;
Liu, Yang
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 421-451
Persistent link: https://www.econbiz.de/10012815980
Saved in:
10
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
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