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~person:"Brandtner, Mario"
~person:"Ghorbel, Ahmed"
~subject:"Risk management"
~subject:"Rohstoffderivat"
~type_genre:"Aufsatz in Zeitschrift"
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Rohstoffderivat
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Brandtner, Mario
Ghorbel, Ahmed
Wang, Ruodu
16
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11
Mao, Tiantian
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Hammoudeh, Shawkat
9
Cai, Jun
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Janabi, Mazin A. M. al
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ECONIS (ZBW)
10
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1
Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb
;
Ghorbel, Ahmed
;
Boujelbene, Younes
- In:
International Journal of Financial Markets and …
7
(
2019
)
2
,
pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
Saved in:
2
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
3
Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
Economic modelling
38
(
2014
),
pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
Saved in:
4
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
5
Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni
;
Ghorbel, Ahmed
;
Khoufi, Walid
- In:
American journal of finance and accounting
5
(
2018
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
Saved in:
6
The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
International journal of managerial and financial accounting
5
(
2013
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009730450
Saved in:
7
Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 156-167
Persistent link: https://www.econbiz.de/10010469143
Saved in:
8
Connectedness between cryptocurrencies and foreign exchange markets : implication for risk management
Chemkha, Rahma
;
BenSaïda, Ahmed
;
Ghorbel, Ahmed
- In:
Journal of multinational financial management
59
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012794677
Saved in:
9
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
10
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
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