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  • Search: subject:"VALUE AT RISK"
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Year of publication
Subject
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Risikomaß 7,549 Risk measure 7,522 Theorie 3,667 Theory 3,622 Portfolio-Management 2,768 Portfolio selection 2,750 Risikomanagement 2,309 Risk management 2,281 Risk 2,130 Risiko 2,125 Messung 1,193 Measurement 1,172 Statistische Verteilung 1,135 Statistical distribution 1,127 Schätzung 1,123 Estimation 1,107 ARCH-Modell 1,038 ARCH model 1,028 Volatility 991 Volatilität 981 Prognoseverfahren 926 Forecasting model 918 Value-at-Risk 784 Kapitaleinkommen 781 Capital income 779 Value at Risk 659 Kreditrisiko 644 Credit risk 626 Bankrisiko 574 Bank risk 571 Basel Accord 520 Basler Akkord 506 Outliers 499 Ausreißer 497 Schätztheorie 497 Estimation theory 493 Financial crisis 483 Finanzkrise 474 Multivariate Verteilung 464 Multivariate distribution 464
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Online availability
All
Free 3,456 Undetermined 2,904
Type of publication
All
Article 5,873 Book / Working Paper 3,660 Other 8 Journal 2
Type of publication (narrower categories)
All
Article in journal 4,591 Aufsatz in Zeitschrift 4,591 Working Paper 1,241 Graue Literatur 1,129 Non-commercial literature 1,129 Arbeitspapier 1,050 Aufsatz im Buch 403 Book section 403 Hochschulschrift 234 Thesis 200 Article 112 Collection of articles of several authors 56 Sammelwerk 56 research-article 38 Collection of articles written by one author 37 Sammlung 37 Dissertation u.a. Prüfungsschriften 28 Aufsatzsammlung 24 Conference paper 23 Konferenzbeitrag 23 Lehrbuch 22 Textbook 20 Bibliografie enthalten 15 Bibliography included 15 Case study 13 Fallstudie 13 Konferenzschrift 10 Handbook 9 Handbuch 9 Conference proceedings 6 review-article 6 Systematic review 5 Übersichtsarbeit 5 Glossar enthalten 4 Glossary included 4 Ratgeber 4 Amtsdruckschrift 3 Bibliografie 3 Conference Paper 3 Congress Report 3
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Language
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English 7,893 Undetermined 1,081 German 480 Spanish 37 French 24 Portuguese 8 Czech 6 Polish 6 Italian 4 Romanian 3 Lithuanian 2 Croatian 1 Indonesian 1 Russian 1 Slovak 1 Slovenian 1 Turkish 1
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Author
All
McAleer, Michael 194 Allen, David E. 59 Härdle, Wolfgang 59 Chang, Chia-Lin 51 Wang, Ruodu 51 Stoja, Evarist 44 Daníelsson, Jón 41 Hammoudeh, Shawkat 40 Jiménez-Martín, Juan-Ángel 39 Fabozzi, Frank J. 38 Vries, Casper G. de 38 Mittnik, Stefan 35 Dowd, Kevin 33 Polanski, Arnold 33 Pérez Amaral, Teodosio 32 Paolella, Marc S. 31 Caporin, Massimiliano 28 Gerlach, Richard 28 Lucas, André 28 Powell, Robert 28 Vanduffel, Steven 28 Embrechts, Paul 27 Pérez-Amaral, Teodosio 27 Righi, Marcelo Brutti 26 Rüschendorf, Ludger 26 Härdle, Wolfgang Karl 25 Rosazza Gianin, Emanuela 25 Schienle, Melanie 25 Albrecht, Peter 24 Giot, Pierre 24 Hoogerheide, Lennart 24 Huschens, Stefan 24 Schaumburg, Julia 24 Ardia, David 23 Dhaene, Jan 23 Hautsch, Nikolaus 23 Stoyanov, Stoyan V. 23 Brandtner, Mario 22 Broll, Udo 22 Dionne, Georges 22
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 61 HAL 38 Tinbergen Instituut 26 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 23 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 21 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 20 EconWPA 17 Institut für Schweizerisches Bankwesen <Zürich> 17 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 16 Department of Economics and Finance, College of Business and Economics 16 Institute of Economic Research, Kyoto University 13 National Bureau of Economic Research 13 Erasmus University Rotterdam, Econometric Institute 12 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 12 Tinbergen Institute 11 Business School, University of Sydney 10 Center for Financial Studies 10 London School of Economics (LSE) 9 National Centre of Competence in Research North South <Bern> 9 Henley Business School, University of Reading 8 Université Paris-Dauphine (Paris IX) 8 C.E.P.R. Discussion Papers 7 Geary Institute, University College Dublin 7 Society for Computational Economics - SCE 7 Springer Fachmedien Wiesbaden 7 Basel Committee on Banking Supervision 6 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 6 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 6 Department of Econometrics and Business Statistics, Monash Business School 6 Deutsche Bundesbank 6 Frankfurt School of Finance and Management 6 Sveriges Riksbank 6 CESifo 5 Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig 5 Faculty of Economics, University of Cambridge 5 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 5 Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 5 School of Business, Edith Cowan University 5 Suomen Pankki 5 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 5
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Published in...
All
Insurance / Mathematics & economics 219 Journal of banking & finance 181 Journal of risk 123 European journal of operational research : EJOR 117 Finance research letters 116 Risks : open access journal 108 Energy economics 76 International review of financial analysis 75 Economic modelling 72 The North American journal of economics and finance : a journal of financial economics studies 68 The journal of risk model validation 67 Discussion paper / Tinbergen Institute 64 MPRA Paper 61 International journal of forecasting 59 Quantitative finance 57 Journal of empirical finance 56 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 econometrics 46 Journal of forecasting 44 Computational economics 42 International review of economics & finance : IREF 42 Insurance: Mathematics and Economics 39 The European journal of finance 38 Research in international business and finance 37 Risks 37 Tinbergen Institute Discussion Papers 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 36 Research paper series / Swiss Finance Institute 35 Journal of Risk and Financial Management 34 Journal of economic dynamics & control 34 SFB 649 discussion paper 34 Tinbergen Institute Discussion Paper 34 Journal of international financial markets, institutions & money 33 Scandinavian actuarial journal 33 Applied economics letters 32 Working papers 32
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Source
All
ECONIS (ZBW) 7,654 RePEc 1,331 EconStor 312 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 Other ZBW resources 52 BASE 50
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Showing 1 - 10 of 9,543
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052590
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953
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Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact
Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26
understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted …
Persistent link: https://www.econbiz.de/10014636599
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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
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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
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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
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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
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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
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Endogenous defaults, value-at-risk and the business cycle
Samiri, Issam - 2024
Persistent link: https://www.econbiz.de/10014532152
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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
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