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~person:"Paolella, Marc S."
~person:"Scaillet, Olivier"
~subject:"Kreditrisiko"
~subject:"Statistical distribution"
~subject:"risk management"
~type_genre:"Aufsatz in Zeitschrift"
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Paolella, Marc S.
Scaillet, Olivier
Rösch, Daniel
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Journal of banking & finance
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Digital finance : smart data analytics, investment innovation, and financial technology
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Journal of econometrics
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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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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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2
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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3
Heterogeneous tail generalized common factor modeling
Hediger, Simon
;
Näf, Jeffrey
;
Paolella, Marc S.
; …
- In:
Digital finance : smart data analytics, investment …
5
(
2023
)
2
,
pp. 389-420
Persistent link: https://www.econbiz.de/10014369265
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4
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
5
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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6
Fast methods for large-scale non-elliptical portfolio optimization
Paolella, Marc S.
- In:
Annals of financial economics
9
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010489123
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