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~person:"Righi, Marcelo Brutti"
~subject:"Risiko"
~type_genre:"Article in journal"
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Search: subject_exact:"VaR (Value at Risk)"
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Risiko
Risikomaß
21
Risk measure
21
Risk
18
Measurement
16
Messung
16
Theorie
15
Theory
15
Portfolio selection
13
Portfolio-Management
13
Risk measures
8
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Forecasting model
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Prognoseverfahren
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Multivariate Verteilung
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Capital income
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Deviation measures
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Multivariate Analyse
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Multivariate analysis
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risk measures
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Portfolio optimization
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Range Value at Risk (RVaR)
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18
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Righi, Marcelo Brutti
Wang, Ruodu
19
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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Finance research letters
2
Journal of risk
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Applied mathematical finance
1
Computational economics
1
Insurance / Mathematics & economics
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of economics & business
1
Journal of forecasting
1
Journal of risk : JOR
1
Operations research letters
1
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)
18
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11
Liquidity, implied volatility and tail risk: a comparison of liquidity measures
Ramos, Henrique Pinto
;
Righi, Marcelo Brutti
- In:
International review of financial analysis
69
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012316872
Saved in:
12
On a robust risk measurement approach for capital determination errors minimization
Righi, Marcelo Brutti
;
Müller, Fernanda Maria
; …
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 199-211
Persistent link: https://www.econbiz.de/10012420135
Saved in:
13
A simulation comparison of risk measures for portfolio optimization
Righi, Marcelo Brutti
;
Borenstein, Denis
- In:
Finance research letters
24
(
2018
),
pp. 105-112
Persistent link: https://www.econbiz.de/10011982511
Saved in:
14
Extended Gini-type measures of risk and variability
Berkhouch, Mohammed
;
Lakhnati, Ghizlane
;
Righi, Marcelo …
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 295-314
Persistent link: https://www.econbiz.de/10012128954
Saved in:
15
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Saved in:
16
Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Revista Brasileira de Finanças : RBFin
10
(
2012
)
4
,
pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
Saved in:
17
Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Journal of risk
19
(
2016
)
2
,
pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
Saved in:
18
A comparison of expected shortfall estimation models
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Journal of economics & business
78
(
2015
),
pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
Saved in:
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