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Search: subject:"Expected shortfall (ES)"
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Risikomaß
29
Risk measure
29
expected shortfall (ES)
23
Risikomanagement
15
Risk management
15
Theorie
15
Theory
15
value-at-risk (VaR)
12
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11
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11
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6
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Expected Shortfall (ES)
5
Schätztheorie
5
Statistical distribution
5
Statistische Verteilung
5
Expected shortfall (ES)
4
backtesting
4
Aktienindex
3
China
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Erwartungsbildung
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Expectation formation
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Regression analysis
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Regressionsanalyse
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Statistischer Test
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Stock index
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Value at Risk (VaR)
3
Value-at-Risk (VaR)
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Volatility
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33
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Lakićević, Marija
2
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2
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2
Summinga-Sonagadu, Ravi
2
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2
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2
Arici, G.
1
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1
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1
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1
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1
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
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1
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Journal of risk
11
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ECONIS (ZBW)
30
RePEc
3
EconStor
2
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21
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
22
Modeling very large losses
Gzyl, Henryk
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10011895066
Saved in:
23
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:
24
An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
Pinelis, Iosif
-
Volkswirtschaftliche Fakultät, …
-
2013
value-at-risk (CVaR) and also as the
expected
shortfall
(
ES
), average value-at-risk (AVaR), and expected tail loss (ETL). It …
Persistent link: https://www.econbiz.de/10011107455
Saved in:
25
A note on the statistical robustness of risk measures
Zhelonkin, Mikhail
;
Chavez-Demoulin, Valérie
- In:
The journal of operational risk
12
(
2017
)
2
,
pp. 47-68
Persistent link: https://www.econbiz.de/10011775516
Saved in:
26
Primary-firm-driven portfolio loss
Turnbull, Stuart M.
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
2
,
pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
Saved in:
27
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
Kinateder, Harald
- In:
Journal of risk
18
(
2015/2016
)
3
,
pp. 25-45
Persistent link: https://www.econbiz.de/10011439046
Saved in:
28
Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
Tasche, Dirk
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10011597894
Saved in:
29
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
30
Heavy-tailed distributions in VaR calculations
Misiorek, Adam
;
Weron, Rafal
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2010
The essence of the Value-at-Risk (VaR) and
Expected
Shortfall
(
ES
) computations is estimation of low quantiles in the …
Persistent link: https://www.econbiz.de/10009323908
Saved in:
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