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~isPartOf:"The journal of fixed income"
~isPartOf:"The journal of risk model validation"
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Risikomaß
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The North American journal of economics and finance : a journal of financial economics studies
The journal of fixed income
The journal of risk model validation
Insurance / Mathematics & economics
188
European journal of operational research : EJOR
100
Journal of banking & finance
99
Risks : open access journal
75
Finance research letters
49
International journal of theoretical and applied finance
48
Economic modelling
46
Journal of risk
44
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43
Journal of empirical finance
42
The journal of credit risk : published quarterly by Incisive Media
37
International review of financial analysis
36
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35
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34
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30
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28
Journal of econometrics
28
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28
SFB 649 discussion paper
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Scandinavian actuarial journal
28
The European journal of finance
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper series / Swiss Finance Institute
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Computational economics
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SpringerLink / Bücher
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Astin bulletin : the journal of the International Actuarial Association
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Operations research letters
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Energy economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Finance and economics discussion series
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
A new
copula
for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
Saved in:
2
Toward model value-at-risk : bespoke CDO tranches, a case study
Cohort, Pierre
;
Levy dit Vehel, Pierre Emmanuel
; …
- In:
The journal of risk model validation
7
(
2013
)
3
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010480651
Saved in:
3
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
4
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
5
A comparison study of pricing credit default swap index tranches with convex combination of
copulae
Okhrin, Ostap
;
Xu, Yafei
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 173-217
Persistent link: https://www.econbiz.de/10011938100
Saved in:
6
The role of the loss function in value-at-risk comparisons
Abad, Pilar
;
Benito Muela, Sonia
;
López Martin, Carmen
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Saved in:
7
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
8
Backtesting solvency II value-at-risk models using a rolling horizon
Loois, Miriam
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 13-31
Persistent link: https://www.econbiz.de/10011326311
Saved in:
9
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
10
Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks
Hammoudeh, Shawkat
;
Santos, Paulo Araújo
;
Al-Hassan, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 318-334
Persistent link: https://www.econbiz.de/10009779210
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