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~subject:"Risk measure"
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Search: subject:"value-at-risk"
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Risk measure
Risikomaß
7,508
Theorie
3,639
Theory
3,594
Portfolio-Management
2,742
Portfolio selection
2,724
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2,291
Risk management
2,264
Risk
2,101
Risiko
2,096
Messung
1,180
Measurement
1,159
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1,131
Statistical distribution
1,123
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1,121
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1,105
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1,039
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1,029
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988
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978
Prognoseverfahren
923
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915
Value-at-Risk
782
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772
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770
Value at Risk
659
Kreditrisiko
640
Credit risk
622
Bankrisiko
568
Bank risk
565
Basel Accord
520
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506
Outliers
498
Ausreißer
496
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490
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486
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482
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473
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460
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McAleer, Michael
93
Wang, Ruodu
45
Allen, David E.
42
Härdle, Wolfgang
40
Stoja, Evarist
37
Pérez Amaral, Teodosio
32
Fabozzi, Frank J.
31
Hammoudeh, Shawkat
29
Daníelsson, Jón
28
Vanduffel, Steven
28
Dowd, Kevin
27
Polanski, Arnold
27
Vries, Casper G. de
27
Chang, Chia-Lin
26
Powell, Robert
24
Caporin, Massimiliano
23
Righi, Marcelo Brutti
23
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Jiménez-Martín, Juan-Ángel
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Dhaene, Jan
20
Giot, Pierre
20
Huschens, Stefan
20
Paolella, Marc S.
20
Wied, Dominik
20
Bernard, Carole
19
Dionne, Georges
19
Stoyanov, Stoyan V.
19
Brandtner, Mario
18
Lucas, André
18
Tsanakas, Andreas
18
Albrecht, Peter
17
Boonen, Tim J.
17
Mao, Tiantian
17
Cai, Jun
16
Chlebus, Marcin
16
Gouriéroux, Christian
16
Kratz, Marie
16
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National Bureau of Economic Research
13
Springer Fachmedien Wiesbaden
7
Basel Committee on Banking Supervision
6
HAL
5
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
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Federal Reserve Bank of San Francisco
2
Instituto Valenciano de Investigaciones Económicas
2
International Center for Financial Asset Management and Engineering
2
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Universität Konstanz
2
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2
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1
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1
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1
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Edward Elgar Publishing
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1
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1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Federal Reserve Bank of St. Louis
1
Frankfurt School Verlag GmbH
1
Gottfried Wilhelm Leibniz Universität Hannover
1
HFDF <2, 1998, Zürich>
1
Harvard Institute for International Development
1
International Monetary Fund
1
International Risk Management Conference <5, 2012, Rom>
1
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Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
114
Finance research letters
110
Risks : open access journal
108
Energy economics
74
International review of financial analysis
74
Economic modelling
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
62
International journal of forecasting
59
Quantitative finance
57
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of forecasting
42
Journal of econometrics
41
Computational economics
40
International review of economics & finance : IREF
40
The European journal of finance
38
Research in international business and finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Applied economics letters
32
Journal of international financial markets, institutions & money
32
Working papers
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Scandinavian actuarial journal
31
Finance and stochastics
30
Pacific-Basin finance journal
30
Working paper
30
Econometric Institute research papers
29
Journal of financial econometrics
28
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ECONIS (ZBW)
7,470
RePEc
11
EconStor
1
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1
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1
Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.
;
Ponrajah, Jeremey
-
2024
Persistent link: https://www.econbiz.de/10015052590
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Endogenous defaults,
value-at-risk
and the business cycle
Samiri, Issam
-
2024
Persistent link: https://www.econbiz.de/10014532152
Saved in:
8
Interdependence and spillovers between big oil companies and regional and global energy equity markets
Hanif, Waqas
;
Hernandez, Jose Arreola
;
Kang, Sang Hoon
; …
- In:
International review of economics & finance : IREF
92
(
2024
),
pp. 451-469
Persistent link: https://www.econbiz.de/10014534922
Saved in:
9
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:
10
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:
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