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~isPartOf:"Economic modelling"
~isPartOf:"Journal of banking & finance"
~isPartOf:"WSI-Mitteilungen : Zeitschrift des Wirtschafts- und Sozialwissenschaftlichen Instituts der Hans-Böckler-Stiftung"
~language:"eng"
~subject:"Risikomanagement"
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Economic modelling
Journal of banking & finance
WSI-Mitteilungen : Zeitschrift des Wirtschafts- und Sozialwissenschaftlichen Instituts der Hans-Böckler-Stiftung
Insurance / Mathematics & economics
156
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ECONIS (ZBW)
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1
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
2
Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Koliai, Lyes
- In:
Journal of banking & finance
70
(
2016
),
pp. 1-22
Persistent link: https://www.econbiz.de/10011635106
Saved in:
3
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
4
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
5
Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
Moussa, A. Mbairadjim
;
Kamdem, J. Sadefo
;
Terraza, Michel
- In:
Economic modelling
39
(
2014
),
pp. 247-256
Persistent link: https://www.econbiz.de/10010421851
Saved in:
6
A new set of improved Value-at-Risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of banking & finance
48
(
2014
),
pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
Saved in:
7
Forecasting distress in European SME portfolios
Filipe, Sara Ferreira
;
Grammatikos, Theoharry
;
Michala, …
- In:
Journal of banking & finance
64
(
2016
),
pp. 112-135
Persistent link: https://www.econbiz.de/10011634271
Saved in:
8
On the pricing of intermediated risks : theory and application to catastrophe reinsurance
Froot, Kenneth
;
O'Connell, Paul G. J.
- In:
Journal of banking & finance
32
(
2008
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10003646971
Saved in:
9
Accurate minimum capital risk requirements : a comparison of several approaches
Grané, A.
;
Veiga, H.
- In:
Journal of banking & finance
32
(
2008
)
11
,
pp. 2482-2492
Persistent link: https://www.econbiz.de/10003787231
Saved in:
10
Offsetting the implicit incentives : benefits of benchmarking in money management
Başak, Suleyman
;
Pavlova, Anna
;
Shapiro, Alex
- In:
Journal of banking & finance
32
(
2008
)
9
,
pp. 1883-1893
Persistent link: https://www.econbiz.de/10003774974
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