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  • Search: subject:"Expected-shortfall"
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Year of publication
Subject
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Risikomaß 8,524 Risk measure 8,518 Theorie 4,662 Theory 4,658 Portfolio selection 3,229 Portfolio-Management 3,229 Risikomanagement 2,982 Risiko 2,977 Risk 2,973 Risk management 2,959 Messung 1,394 Measurement 1,381 Statistische Verteilung 1,173 Statistical distribution 1,172 ARCH-Modell 1,167 ARCH model 1,165 Volatility 1,054 Volatilität 1,054 Schätzung 1,043 Estimation 1,042 Prognoseverfahren 940 Forecasting model 939 Bank risk 908 Bankrisiko 908 Capital income 874 Kapitaleinkommen 874 Kreditrisiko 825 Credit risk 823 Schätztheorie 702 Estimation theory 701 Basel Accord 589 Basler Akkord 589 Outliers 570 Ausreißer 567 Financial crisis 550 Finanzkrise 549 Multivariate Verteilung 524 Multivariate distribution 524 VAR model 514 VAR-Modell 514
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Online availability
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Free 3,042 Undetermined 2,730 CC license 249
Type of publication
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Article 5,762 Book / Working Paper 3,050 Other 3 Journal 2
Type of publication (narrower categories)
All
Article in journal 5,100 Aufsatz in Zeitschrift 5,100 Graue Literatur 1,210 Non-commercial literature 1,210 Working Paper 1,177 Arbeitspapier 1,141 Aufsatz im Buch 432 Book section 432 Hochschulschrift 219 Thesis 166 Collection of articles of several authors 52 Sammelwerk 52 Article 42 Collection of articles written by one author 36 Sammlung 36 Conference paper 27 Konferenzbeitrag 27 Aufsatzsammlung 24 Lehrbuch 22 Textbook 20 Case study 13 Fallstudie 13 research-article 12 Bibliografie enthalten 10 Bibliography included 10 Konferenzschrift 10 Handbook 9 Handbuch 9 Systematic review 6 Übersichtsarbeit 6 Conference proceedings 5 Ratgeber 5 Glossar enthalten 4 Glossary included 4 Amtsdruckschrift 3 Bibliografie 3 Forschungsbericht 3 Government document 3 Festschrift 2 Guidebook 2
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Language
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English 8,233 German 378 Undetermined 151 Spanish 22 French 19 Polish 5 Portuguese 5 Italian 4 Czech 1 Croatian 1 Russian 1 Slovenian 1 Turkish 1
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Author
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McAleer, Michael 93 Wang, Ruodu 57 Härdle, Wolfgang 56 Allen, David E. 46 Fabozzi, Frank J. 37 Pérez Amaral, Teodosio 36 Righi, Marcelo Brutti 34 Vanduffel, Steven 32 Vries, Casper G. de 32 Daníelsson, Jón 31 Stoja, Evarist 30 Dowd, Kevin 29 Račev, Svetlozar T. 28 Lucas, André 27 Powell, Robert 27 Rosazza Gianin, Emanuela 27 Al Janabi, Mazin A. M. 26 Chang, Chia-Lin 26 Embrechts, Paul 24 Hammoudeh, Shawkat 24 Jiménez-Martín, Juan-Ángel 24 Paolella, Marc S. 24 Rüschendorf, Ludger 24 Boonen, Tim J. 22 Ardia, David 21 Bernard, Carole 21 Caporin, Massimiliano 21 Cheung, Ka Chun 21 Dhaene, Jan 21 Giot, Pierre 21 Kratz, Marie 21 Tsanakas, Andreas 21 Chen Zhou 20 Gerlach, Richard 20 Hoogerheide, Lennart 20 Huschens, Stefan 20 Stoyanov, Stoyan V. 20 Weiß, Gregor 20 Wied, Dominik 20 Albrecht, Peter 19
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 National Bureau of Economic Research 11 Basel Committee on Banking Supervision 7 Springer Fachmedien Wiesbaden 7 HAL 6 Business School, University of Sydney 5 European Central Bank 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 University of Canterbury / Dept. of Economics and Finance 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Friedrich-Schiller-Universität Jena 3 Geary Institute, University College Dublin 3 Pensions Institute 3 Springer-Verlag GmbH 3 Swiss Finance Institute 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Tinbergen Instituut 3 Universität Mannheim 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 CESifo 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Deutsche Bundesbank 2 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Federal Reserve Bank of San Francisco 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 International Center for Financial Asset Management and Engineering 2 School of Economics and Finance, Tasmanian School of Business and Economics 2 Society for Computational Economics - SCE 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Verlag Dr. Kovač 2 Banco Central do Brasil 1 Banco de la Republica de Colombia 1 Bank für Internationalen Zahlungsausgleich 1 Bank of Japan 1 Bank-Verlag GmbH 1 Bergische Universität Wuppertal 1 Berliner Wissenschafts-Verlag 1
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Published in...
All
Insurance 253 Journal of banking & finance 183 Risks : open access journal 142 European journal of operational research : EJOR 134 Journal of risk 125 Finance research letters 116 International review of financial analysis 75 Economic modelling 71 Energy economics 71 The journal of risk model validation 69 Quantitative finance 68 The journal of operational risk 64 Discussion paper / Tinbergen Institute 62 International journal of forecasting 59 Applied economics 58 International journal of theoretical and applied finance 56 Journal of risk and financial management : JRFM 54 The North American journal of economics and finance : a journal of financial economics studies 53 Journal of empirical finance 52 Computational economics 51 Journal of forecasting 51 Journal of risk management in financial institutions 50 Journal of econometrics 49 International review of economics & finance : IREF 45 Scandinavian actuarial journal 44 The European journal of finance 42 Research in international business and finance 41 Management science : journal of the Institute for Operations Research and the Management Sciences 40 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 38 Operations research 38 Working paper 38 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Research paper series / Swiss Finance Institute 37 Journal of economic dynamics & control 36 Applied economics letters 33 Journal of financial econometrics 33 Mathematics and financial economics 33 Operations research letters 33 SFB 649 discussion paper 33
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Source
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ECONIS (ZBW) 8,534 RePEc 182 EconStor 80 Other ZBW resources 13 BASE 8
Showing 1 - 10 of 8,817
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New bounds for tail risk measures
Carnero, M. Angeles; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 75 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015408528
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Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory
Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026
Persistent link: https://www.econbiz.de/10015625395
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Central bank announcements and monitoring portfolio risks
Bui, Huynh Tuan Duy; Herwartz, Helmut; Wang, Shu - In: International review of economics & finance : IREF 103 (2025), pp. 1-24
Persistent link: https://www.econbiz.de/10015482544
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On the distance to the desired terminal surplus distribution under reinsurance
Eisenberg, Julia; Landsman, Zinoviy - In: Scandinavian actuarial journal 2025 (2025) 9, pp. 938-958
Persistent link: https://www.econbiz.de/10015543032
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Extreme conditional tail risk inference in ARMA-GARCH models
Ma, Yaolan; Wei, Bo - In: Journal of economic dynamics & control 177 (2025), pp. 1-22
Persistent link: https://www.econbiz.de/10015556648
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Crisis-proofing heterogeneous banks
Lucchetta, Marcella - 2025
Persistent link: https://www.econbiz.de/10015464307
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Dynamic responses of Bitcoin, gold, and green bonds to geopolitical risk : a quantile wavelet analysis
Mejri, Sami; Leccadito, Arturo; Yildirim, Ramazan - In: Borsa Istanbul Review 25 (2025) 6, pp. 1183-1207
-term stress, whereas GOLD and GBOND offer greater stability over medium- and long-term horizons. Conditional expected shortfall …
Persistent link: https://www.econbiz.de/10015551279
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Identifying risk regimes in a sectoral stock index through a multivariate hidden Markov framework
Akara Kijkarncharoensin - In: Risks : open access journal 13 (2025) 7, pp. 1-19
differ significantly across these regimes. Additionally, the analysis incorporates risk measures, including expected … shortfall, maximum drawdown, and the coefficient of variation. The results indicate that the bearish regime carries the highest …
Persistent link: https://www.econbiz.de/10015436715
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Market risk of securities held by Italian banks and insurance companies
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408587
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Comparing the systemic risk of Italian insurers and banks
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408590
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