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~subject:"Multivariate distribution"
~subject:"Risk"
~subject:"Statistical distribution"
~subject:"Theory"
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Search: subject:"Value at Risk"
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Multivariate distribution
Risk
Statistical distribution
Theory
Risikomaß
7,470
Risk measure
7,444
Theorie
3,620
Portfolio-Management
2,722
Portfolio selection
2,704
Risikomanagement
2,282
Risk management
2,246
Risiko
2,079
Messung
1,170
Measurement
1,149
Statistische Verteilung
1,123
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1,111
Estimation
1,095
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1,032
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1,022
Volatility
979
Volatilität
971
Prognoseverfahren
915
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907
Value-at-Risk
774
Kapitaleinkommen
765
Capital income
763
Value at Risk
658
Kreditrisiko
639
Credit risk
621
Bankrisiko
564
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561
Basel Accord
519
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505
Outliers
494
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492
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489
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485
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474
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468
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457
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Wang, Ruodu
43
Härdle, Wolfgang
36
Stoja, Evarist
32
Daníelsson, Jón
25
Vanduffel, Steven
25
Rosazza Gianin, Emanuela
23
Dowd, Kevin
22
Polanski, Arnold
22
Rüschendorf, Ludger
22
Vries, Casper G. de
22
Fabozzi, Frank J.
21
Huschens, Stefan
21
Righi, Marcelo Brutti
21
Embrechts, Paul
20
McAleer, Michael
19
Dhaene, Jan
17
Bernard, Carole
16
Brandtner, Mario
16
Mao, Tiantian
16
Paolella, Marc S.
16
Stoyanov, Stoyan V.
16
Boonen, Tim J.
15
Cai, Jun
15
Caporin, Massimiliano
15
Račev, Svetlozar T.
15
Cheung, Ka Chun
14
Hammoudeh, Shawkat
14
Liu, Haiyan
14
Tsanakas, Andreas
14
Furman, Edward
13
Gerlach, Richard
13
Kürsten, Wolfgang
13
Landsman, Zinoviy
13
Puccetti, Giovanni
13
Albrecht, Peter
12
Dionne, Georges
12
Farkas, Walter
12
Lucas, André
12
Mittnik, Stefan
12
Yoshiba, Toshinao
12
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National Bureau of Economic Research
10
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5
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
5
Friedrich-Schiller-Universität Jena
3
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
3
Springer-Verlag GmbH
3
Universität Mannheim
3
Basel Committee on Banking Supervision
2
Pensions Institute
2
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Bergische Universität Wuppertal
1
Books on Demand GmbH <Norderstedt>
1
Boston College / Department of Economics
1
Center for Economic Research <Tilburg>
1
Christian-Albrechts-Universität zu Kiel
1
Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
1
Department of Agribusiness and Applied Economics, North Dakota State University
1
EconWPA
1
Edward Elgar Publishing
1
Escola de Pós-Graduação em Economia <Rio de Janeiro>
1
Europäische Zentralbank / Group on TARGET2 Stress Testing
1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Federal Reserve Bank of San Francisco
1
Federal Reserve Bank of St. Louis
1
Fondazione ENI Enrico Mattei (FEEM)
1
Gottfried Wilhelm Leibniz Universität Hannover
1
HFDF <2, 1998, Zürich>
1
Instituto Valenciano de Investigaciones Económicas
1
International Center for Financial Asset Management and Engineering
1
International Risk Management Conference <5, 2012, Rom>
1
KPMG <London>
1
KPMG Peat Marwick <London>
1
KPMG Peat Marwick MacLintock <London>
1
Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe>
1
Massachusetts Institute of Technology / Department of Economics
1
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1
Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise
1
Trinity College Dublin / Department of Economics
1
University of Canterbury / Dept. of Economics and Finance
1
University of Strathclyde / Department of Economics
1
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Published in...
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Insurance / Mathematics & economics
205
Journal of banking & finance
120
European journal of operational research : EJOR
95
Risks : open access journal
93
Finance research letters
69
Journal of risk
65
International review of financial analysis
52
Economic modelling
51
International journal of forecasting
48
Quantitative finance
48
Applied economics
45
Discussion paper / Tinbergen Institute
45
Energy economics
45
Journal of empirical finance
44
Journal of risk and financial management : JRFM
37
The North American journal of economics and finance : a journal of financial economics studies
36
The journal of risk model validation
35
Computational economics
33
International journal of theoretical and applied finance
33
The journal of operational risk
33
The European journal of finance
32
Journal of econometrics
31
Finance and stochastics
29
Research paper series / Swiss Finance Institute
29
SFB 649 discussion paper
28
Scandinavian actuarial journal
28
Journal of forecasting
27
International review of economics & finance : IREF
26
Journal of economic dynamics & control
25
Mathematics and financial economics
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematics of operations research
24
Astin bulletin : the journal of the International Actuarial Association
23
Journal of financial econometrics
23
Working papers
23
Journal of risk management in financial institutions
22
Operations research letters
22
Pacific-Basin finance journal
22
The journal of credit risk : published quarterly by Incisive Media
22
Journal of mathematical finance
21
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Source
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ECONIS (ZBW)
4,963
RePEc
10
BASE
2
EconStor
1
Showing
1
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10
of
4,976
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relevance
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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
A robust ordered weighted averaging loss model for portfolio optimization
Benati, Stefano
;
Sánchez Conde, Eduardo
- In:
Computers & operations research : an international journal
167
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014566418
Saved in:
7
Robust insurance design with distortion risk measures
Boonen, Tim J.
;
Jiang, Wenjun
- In:
European journal of operational research : EJOR
316
(
2024
)
2
,
pp. 694-706
Persistent link: https://www.econbiz.de/10014575576
Saved in:
8
Good risk measures, bad statistical assumptions, ugly risk forecasts
Michaelides, Michael
;
Poudyal, Niraj
- In:
The financial review : the official publication of the …
59
(
2024
)
2
,
pp. 519-543
Persistent link: https://www.econbiz.de/10014543997
Saved in:
9
Estimating
Value
at
Risk
and expected shortfall : a Kalman filter approach
Lecq, Max van der
;
Van Vuuren, Gary
- In:
International journal of economics and financial issues …
14
(
2024
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014567063
Saved in:
10
Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes
Alonso-García, Jennifer
;
Boado-Penas, María del Carmen
; …
-
2024
Persistent link: https://www.econbiz.de/10014631072
Saved in:
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