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  • Search: subject:"Expected-shortfall"
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Year of publication
Subject
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Risikomaß 8,291 Risk measure 8,285 Theorie 4,538 Theory 4,534 Portfolio selection 3,140 Portfolio-Management 3,140 Risikomanagement 2,886 Risiko 2,866 Risk management 2,863 Risk 2,862 Messung 1,358 Measurement 1,345 Statistische Verteilung 1,139 Statistical distribution 1,138 ARCH-Modell 1,131 ARCH model 1,129 Schätzung 1,011 Estimation 1,010 Volatility 1,009 Volatilität 1,009 Prognoseverfahren 908 Forecasting model 907 Bank risk 884 Bankrisiko 884 Capital income 845 Kapitaleinkommen 845 Kreditrisiko 801 Credit risk 799 Schätztheorie 679 Estimation theory 678 Basel Accord 572 Basler Akkord 572 Outliers 552 Ausreißer 549 Financial crisis 532 Finanzkrise 531 Multivariate Verteilung 514 Multivariate distribution 514 Systemic risk 490 VAR model 487
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Online availability
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Free 2,889 Undetermined 2,593 CC license 217
Type of publication
All
Article 5,560 Book / Working Paper 3,015 Other 3 Journal 2
Type of publication (narrower categories)
All
Article in journal 4,919 Aufsatz in Zeitschrift 4,919 Graue Literatur 1,184 Non-commercial literature 1,184 Working Paper 1,153 Arbeitspapier 1,118 Aufsatz im Buch 426 Book section 426 Hochschulschrift 218 Thesis 166 Collection of articles of several authors 52 Sammelwerk 52 Article 39 Collection of articles written by one author 36 Sammlung 36 Conference paper 27 Konferenzbeitrag 27 Aufsatzsammlung 22 Lehrbuch 22 Textbook 20 Case study 13 Fallstudie 13 research-article 12 Konferenzschrift 10 Bibliografie enthalten 9 Bibliography included 9 Handbook 9 Handbuch 9 Conference proceedings 5 Ratgeber 5 Systematic review 5 Übersichtsarbeit 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 7,998 German 378 Undetermined 151 Spanish 22 French 17 Polish 5 Portuguese 5 Italian 4 Czech 1 Croatian 1 Russian 1 Slovenian 1 Turkish 1
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Author
All
McAleer, Michael 92 Härdle, Wolfgang 55 Wang, Ruodu 55 Allen, David E. 45 Fabozzi, Frank J. 37 Pérez Amaral, Teodosio 36 Righi, Marcelo Brutti 33 Vries, Casper G. de 32 Daníelsson, Jón 31 Vanduffel, Steven 30 Dowd, Kevin 29 Stoja, Evarist 29 Powell, Robert 27 Račev, Svetlozar T. 27 Rosazza Gianin, Emanuela 27 Al Janabi, Mazin A. M. 26 Chang, Chia-Lin 26 Lucas, André 26 Embrechts, Paul 24 Hammoudeh, Shawkat 24 Jiménez-Martín, Juan-Ángel 24 Paolella, Marc S. 24 Rüschendorf, Ludger 24 Ardia, David 21 Caporin, Massimiliano 21 Cheung, Ka Chun 21 Dhaene, Jan 21 Giot, Pierre 21 Kratz, Marie 21 Tsanakas, Andreas 21 Boonen, Tim J. 20 Chen Zhou 20 Hoogerheide, Lennart 20 Huschens, Stefan 20 Stoyanov, Stoyan V. 20 Weiß, Gregor 20 Wied, Dominik 20 Albrecht, Peter 19 Bernard, Carole 19 Dionne, Georges 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 / Mathematics & economics 253 Journal of banking & finance 183 European journal of operational research : EJOR 132 Journal of risk 125 Risks : open access journal 123 Finance research letters 113 International review of financial analysis 72 Economic modelling 69 The journal of risk model validation 67 Energy economics 63 Discussion paper / Tinbergen Institute 62 Quantitative finance 61 The journal of operational risk 60 International journal of theoretical and applied finance 56 Applied economics 55 International journal of forecasting 55 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 Journal of forecasting 50 Journal of risk management in financial institutions 50 Journal of econometrics 47 Computational economics 44 The European journal of finance 42 Scandinavian actuarial journal 41 Research in international business and finance 39 International review of economics & finance : IREF 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 Management science : journal of the Institute for Operations Research and the Management Sciences 36 Journal of economic dynamics & control 35 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 34 Operations research 34 Applied economics letters 33 Operations research letters 33 SFB 649 discussion paper 33 Econometric Institute research papers 31 Mathematics and financial economics 31
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Source
All
ECONIS (ZBW) 8,301 RePEc 182 EconStor 76 Other ZBW resources 13 BASE 8
Showing 1 - 10 of 8,580
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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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Expected shortfall regression for high-dimensional additive models
Honda, Toshio; Peng, Po-Hsiang - 2025
Persistent link: https://www.econbiz.de/10015196326
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When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - 2025
Persistent link: https://www.econbiz.de/10015339158
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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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The nonlinear effects of banks' vulnerability to capital depletion in euro area countries
Davidson, Sharada Nia; Moccero, Diego Nicolas - 2024
When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...
Persistent link: https://www.econbiz.de/10014490448
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A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis
Nor Azliana Aridi; Hooi, Tan Siow; Cheong, Chin Wen - In: Cogent economics & finance 12 (2024) 1, pp. 1-19
market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The …
Persistent link: https://www.econbiz.de/10015359301
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A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024
Persistent link: https://www.econbiz.de/10015097279
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Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione
Persistent link: https://www.econbiz.de/10015099208
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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
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