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~subject:"Risikomanagement"
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Risikomanagement
Risikomaß
24
Risk measure
24
Elicitability
19
Theorie
19
Theory
19
Forecasting model
13
Prognoseverfahren
13
elicitability
13
Measurement
12
Messung
12
Portfolio selection
11
Portfolio-Management
11
Risiko
10
Risk
10
Risk management
8
Statistical distribution
7
Statistische Verteilung
7
Estimation
5
Expected shortfall
5
Schätzung
5
coherence
5
expected shortfall
5
expectiles
5
ARCH model
4
ARCH-Modell
4
Backtesting
4
Consistent loss function
4
Estimation theory
4
Expectile
4
Robustness
4
Schätztheorie
4
Value-at-Risk
4
backtesting
4
robustness
4
Basel Accord
3
Basler Akkord
3
Coherence
3
Financial services
3
Finanzdienstleistung
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English
8
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Deng, Kaihua
1
Emmer, Susanne
1
Fan, Caiyun
1
Kou, Steven
1
Kratz, Marie
1
Liu, Fangda
1
Peng, Xianhua
1
Pitera, Marcin
1
Qiu, Jie
1
Schmidt, Thorsten
1
Tasche, Dirk
1
Wang, Ruodu
1
Wehn, Carsten
1
Xu, Yixiong
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Zhang, Feipeng
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Ziegel, Johanna F.
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International review of financial analysis
1
Journal of banking & finance
1
Journal of risk
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics of operations research
1
Operations research
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Quantitative finance
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The journal of risk model validation
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ECONIS (ZBW)
8
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1
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
2
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
3
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
4
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
5
Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
Saved in:
6
Coherence and
elicitability
Ziegel, Johanna F.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 901-918
Persistent link: https://www.econbiz.de/10011583809
Saved in:
7
On the measurement of economic tail risk
Kou, Steven
;
Peng, Xianhua
- In:
Operations research
64
(
2016
)
5
,
pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
Saved in:
8
What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne
;
Kratz, Marie
;
Tasche, Dirk
- In:
Journal of risk
18
(
2015/2016
)
2
,
pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
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