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~subject:"Estimation"
~subject:"value-at-risk (VaR)"
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Bericht der AG2: Risikomanagem...
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Estimation
value-at-risk (VaR)
Risikomanagement
76
Risk management
76
Portfolio selection
40
Portfolio-Management
40
Risikomaß
40
Risk measure
40
Theorie
32
Theory
32
risk management
23
Risiko
20
Risk
20
Financial services
19
Finanzdienstleistung
19
Credit risk
16
Kreditrisiko
16
Bank risk
11
Bankrisiko
11
Original research
11
Measurement
10
Messung
10
Basel Accord
8
Basler Akkord
8
Schätzung
8
ARCH model
7
ARCH-Modell
7
Forecasting model
7
Hedging
7
Prognoseverfahren
7
Multivariate Verteilung
6
Multivariate distribution
6
Statistical distribution
6
Statistische Verteilung
6
Ausreißer
5
Outliers
5
Value-at-risk (VAR)
5
Volatility
5
Volatilität
5
Estimation theory
4
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English
13
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Poddig, Thorsten
2
Abad, Pilar
1
Alemany, Ramon
1
Benito Muela, Sonia
1
Bolancé, Catalina
1
Breton, Michèle
1
Buchner, Axel
1
Chen, Jiusheng
1
Cui, Xueting
1
Fieberg, Christian
1
Kabaila, Paul
1
Li, Duan
1
López-Martín, Carmen
1
Lüdemann, Stefan
1
Mainzer, Rheanna
1
Marzouk, Oussama
1
Mertens, Richard Lennart
1
Muromachi, Yukio
1
Olschewsky, Michael
1
Padilla Barreto, Alemar E.
1
Riccetti, Luca
1
Shi, Ming
1
Sun, Xiaoling
1
Sánchez Granero, Miguel Angel
1
Weiß, Gregor
1
Yu, Xinxin
1
Zhang, Ke
1
Zhu, Shushang
1
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Journal of risk
Journal of air transport management
15
Working paper / National Bureau of Economic Research, Inc.
13
Journal of banking & finance
10
Energy economics
9
NBER working paper series
9
Discussion paper / Centre for Economic Policy Research
8
Economic modelling
8
International review of financial analysis
8
NBER Working Paper
8
The journal of operational risk
8
Applied economics
7
Finance research letters
7
SpringerLink / Bücher
7
The journal of risk model validation
7
Working papers
7
Gabler Edition Wissenschaft
6
Transportation research / E : an international journal
6
Insurance / Mathematics & economics
5
International journal of finance & economics : IJFE
5
Pacific-Basin finance journal
5
Risks : open access journal
5
Discussion paper / Tinbergen Institute
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of economic dynamics & control
4
Journal of empirical finance
4
Journal of financial economics
4
Journal of financial stability
4
Journal of international financial markets, institutions & money
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Quantitative finance
4
Schriftenreihe Finanzmanagement
4
The North American journal of economics and finance : a journal of financial economics studies
4
Working papers / Financial Institutions Center
4
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
3
Economics letters
3
International Journal of Energy Economics and Policy : IJEEP
3
International journal of transport economics : IJTE
3
International review of economics & finance : IREF
3
Journal of econometrics
3
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ECONIS (ZBW)
13
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1
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10
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13
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1
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
2
Forecasting corporate defaults in the German stock market
Mertens, Richard Lennart
;
Poddig, Thorsten
;
Fieberg, …
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 29-54
Persistent link: https://www.econbiz.de/10011962407
Saved in:
3
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
Saved in:
4
Risk management for private equity funds
Buchner, Axel
- In:
Journal of risk
19
(
2017
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011799119
Saved in:
5
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
Saved in:
6
Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang
;
Cui, Xueting
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
Saved in:
7
Copula parameter estimation : numerical considerations and implications for risk management
Weiß, Gregor
- In:
Journal of risk
13
(
2010/11
)
1
,
pp. 17-53
Persistent link: https://www.econbiz.de/10008699157
Saved in:
8
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
9
Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
Saved in:
10
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
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