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Non-normality in financial markets and the measurement of risk

Lau, Christian - 2015

ARMA-GARCH-Modellierung; nicht-Normalität; normal-inverse Gauss-Verteilung (NIG-Verteilung); realisierte Momente; Staatsanleihen; Strom Forwards; stylized facts von Finanzzeitreihen; Value at Risk; Verteilung von Anleiherenditen

Persistent link: https://www.econbiz.de/10011440567

Portfolio risk forecasting - on the predictive power of multivariate dynamic copula models

Aepli, Matthias Daniel - 2015

Persistent link: https://www.econbiz.de/10010510833

Stochastic Taylor expansions and saddlepoint approximations for risk management

Studer, Michael (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001674056

Long-term risk management

Kaufmann, Roger (contributor) - 2004

Persistent link: https://www.econbiz.de/10002554607

Essays on performance measurement, risk evaluation, and regulation in the insurance sector

Zemp, Alexandra - 2011

Die Europäische Versicherungsindustrie hat in den vergangenen Jahren zahlreiche Veränderungen erlebt. Zu nennen sind zum Beispiel Naturkatastrophen, die letzte Finanzmarktkrise und neue regulatorische Vorschriften. Diese Dynamik macht das Themengebiet Versicherung zu einem interessanten und...

Persistent link: https://www.econbiz.de/10009502160

Bayesian risk management : "Frequency does not make you smarter"

Fucik, Markus - 2011

Within our research group Bayesian Risk Solutions we have coined the idea of a Bayesian Risk Management (BRM). It claims (1) a more transparent and diligent data analysis as well as (2)an open-minded incorporation of human expertise in risk management. In this dissertation we formulize a...