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~subject:"Kreditrisiko"
~subject:"Risikomaß"
~subject:"Volatilität"
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Search: subject:"value at risk"
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Kreditrisiko
Risikomaß
Volatilität
Risk measure
7,358
Theorie
3,588
Theory
3,543
Portfolio-Management
2,688
Portfolio selection
2,670
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2,255
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2,054
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2,052
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1,098
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1,093
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962
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889
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881
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771
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760
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758
Value at Risk
658
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556
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553
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513
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499
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487
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485
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479
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467
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McAleer, Michael
100
Allen, David E.
45
Wang, Ruodu
43
Härdle, Wolfgang
41
Stoja, Evarist
37
Fabozzi, Frank J.
32
Pérez Amaral, Teodosio
32
Daníelsson, Jón
31
Hammoudeh, Shawkat
29
Chang, Chia-Lin
28
Dowd, Kevin
27
Polanski, Arnold
27
Vanduffel, Steven
27
Vries, Casper G. de
27
Powell, Robert
24
Jiménez-Martín, Juan-Ángel
23
Righi, Marcelo Brutti
23
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Caporin, Massimiliano
21
Huschens, Stefan
21
Paolella, Marc S.
21
Dhaene, Jan
20
Giot, Pierre
20
Wied, Dominik
20
Stoyanov, Stoyan V.
19
Bernard, Carole
18
Brandtner, Mario
18
Dionne, Georges
18
Mittnik, Stefan
18
Albrecht, Peter
17
Lucas, André
17
Mao, Tiantian
17
Schienle, Melanie
17
Tsanakas, Andreas
17
Boonen, Tim J.
16
Gouriéroux, Christian
16
Kratz, Marie
16
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13
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7
Basel Committee on Banking Supervision
6
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
University of Canterbury / Dept. of Economics and Finance
4
Friedrich-Schiller-Universität Jena
3
Pensions Institute
3
Springer-Verlag GmbH
3
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
3
Universität Mannheim
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe
2
Federal Reserve Bank of San Francisco
2
Institut für Finanzwirtschaft <Braunschweig>
2
Institut für Schweizerisches Bankwesen <Zürich>
2
Instituto Valenciano de Investigaciones Económicas
2
International Center for Financial Asset Management and Engineering
2
National Centre of Competence in Research North South <Bern>
2
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2
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2
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2
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1
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1
Federal Reserve Bank <New York, NY>
1
Federal Reserve Bank <San Francisco, Calif.>
1
Federal Reserve Bank of St. Louis
1
Frankfurt School Verlag GmbH
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Published in...
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Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
110
Risks : open access journal
106
Finance research letters
93
Economic modelling
70
Energy economics
70
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
68
Discussion paper / Tinbergen Institute
63
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
International journal of theoretical and applied finance
46
The journal of operational risk
45
Journal of econometrics
42
Journal of forecasting
42
Computational economics
38
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
International review of economics & finance : IREF
35
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of economic dynamics & control
33
Journal of international financial markets, institutions & money
32
Working papers
32
Applied economics letters
31
Scandinavian actuarial journal
31
Finance and stochastics
30
Econometric Institute research papers
29
Pacific-Basin finance journal
29
Management science : journal of the Institute for Operations Research and the Management Sciences
28
Operations research letters
28
Working paper
28
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Source
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ECONIS (ZBW)
7,365
EconStor
55
USB Cologne (business full texts)
18
USB Cologne (EcoSocSci)
12
BASE
2
Showing
1
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10
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7,452
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date (newest first)
date (oldest first)
1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Dynamic robust portfolio selection under market distress
Jiang, Yifu
;
Olmo, Jose
;
Atwi, Majed
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014445636
Saved in:
3
Value-at-Risk
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
4
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
5
Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type
Value-at-Risk
model performance in Thailand's transport...
Danai Likitratcharoen
;
Lucksuda Suwannamalik
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-19
The
Value-at-Risk
(VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …
Persistent link: https://www.econbiz.de/10014497424
Saved in:
6
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
7
Endogenous defaults,
value-at-risk
and the business cycle
Samiri, Issam
-
2024
Persistent link: https://www.econbiz.de/10014532152
Saved in:
8
Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit
Xiong, Qian
;
Peng, Zuoxiang
;
Nadarajah, Saralees
- In:
Risks : open access journal
11
(
2023
)
7
,
pp. 1-26
Optimal reinsurance problems under the risk measures, such as
Value-at-Risk
(VaR) and Tail-
Value-at-Risk
(TVaR), have …
Persistent link: https://www.econbiz.de/10014340271
Saved in:
9
Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages
Di Lorenzo, Emilia
;
Piscopo, Gabriella
;
Sibillo, Marilena
- In:
Computational management science
21
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014442633
Saved in:
10
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
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