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~isPartOf:"The journal of risk model validation"
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The journal of fixed income
The journal of risk model validation
Insurance / Mathematics & economics
206
Journal of banking & finance
112
European journal of operational research : EJOR
102
Risks : open access journal
81
Finance research letters
58
Journal of risk
56
Economic modelling
52
International journal of theoretical and applied finance
50
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47
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International journal of forecasting
46
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45
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40
International review of financial analysis
40
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38
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36
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32
Scandinavian actuarial journal
31
The journal of operational risk
31
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SFB 649 discussion paper
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The European journal of finance
30
Computational economics
28
Energy economics
28
Finance and stochastics
28
Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of forecasting
23
Astin bulletin : the journal of the International Actuarial Association
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Mathematics and financial economics
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SpringerLink / Bücher
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International review of economics & finance : IREF
20
Journal of risk management in financial institutions
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ECONIS (ZBW)
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1
Conditioned likelihood estimation of nonnormal distributions : risk estimation of credit portfolios in stressed markets
Oteng-Amoako, Kingsley
- In:
The journal of risk model validation
8
(
2014
)
3
,
pp. 3-31
Persistent link: https://www.econbiz.de/10010423915
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
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:
6
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:
7
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:
8
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:
9
Bond portfolio optimization : a risk-return approach
Korn, Olaf
;
Koziol, Christion
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 48-60
Persistent link: https://www.econbiz.de/10003339406
Saved in:
10
A
copula
approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel
;
Meyeredi, Jean-Christophe
- In:
The journal of fixed income
17
(
2007
)
1
,
pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
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