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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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Applying the Cornish-Fisher expansion to value-at-risk estimation in Islamic banking
Izhar, Hylmun - In: Journal of risk 17 (2014/2015) 6, pp. 51-72
Persistent link: https://www.econbiz.de/10011438927
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Stochastische Szenariosimulation in der Unternehmenspraxis : Risikomodellierung, Fallstudien, Umsetzung in R
Romeike, Frank; Stallinger, Manfred - 2021
Vorwort -- 1. Einführung -- 2. Einführung in die faszinierende Welt des Zufalls -- 3. Grundbegriffe -- 4. Risiken und Chancen als Wahrscheinlichkeitsverteilungen darstellen -- 5. Risiken in der Unternehmensplanung -- 6. Stochastische Prozesse -- 7. Risikomaße -- 8. Abhängigkeiten modellieren...
Persistent link: https://www.econbiz.de/10012650553
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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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Enterprise Risk Management Models
Olson, David L; Wu, Desheng - 2020 - 3rd ed. 2020.
Enterprise Risk Management in Supply Chains -- Risk Matrices -- Value-Focused Supply Chain Risk Analysis -- Examples of Supply Chain Decisions Trading Off Criteria -- Simulation of Supply Chain Risk -- Value at Risk Models -- Chance Constrained Models -- Data Envelopment Analysis in Enterprise...
Persistent link: https://www.econbiz.de/10012399177
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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69
Persistent link: https://www.econbiz.de/10012500249