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Bedingte Schätzung von Value at Risk und Expected Shortfall

Schaudeck, Alexander - 2014

gibt es bezüglich Theorie, Simulation und empirischer Anwendung bereits ein breites Spektrum an Literatur. Im Rahmen dieser …

Persistent link: https://www.econbiz.de/10010532752

VaR forecasting : daily versus intradaily data

Wöhrle, Ralf Ferdinand - In: Economic & financial modelling : a journal of the … 23 (2016) 4, pp. 153-198

Persistent link: https://www.econbiz.de/10011715593

Evaluation of yield forecasts : why one should not choose the MSE

Siemßen, Sönke J. - 1998

Persistent link: https://www.econbiz.de/10001410541

Virtuelle Börsen als Instrument zur Marktforschung

Spann, Martin - 2002 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001717267

Validation of rating systems

Güttler, André - 2005

Persistent link: https://www.econbiz.de/10003226136

Verbesserung der Vergleichbarkeit von Schätzgüteergebnissen von Insolvenzprognosestudien

Bemmann, Martin (contributor) - 2005

Persistent link: https://www.econbiz.de/10003079808

Die Messung des Marktrisikos von Portefeuilles aus Aktien und Aktienoptionen

Locarek-Junge, Hermann; Prinzler, Ralf; Straßberger, Mario - 2001

Persistent link: https://www.econbiz.de/10001662097

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

Persistent link: https://www.econbiz.de/10001788591

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003

Persistent link: https://www.econbiz.de/10001882139

Pitfalls in modeling loss given default of bank loans

Hibbeln, Martin; Gürtler, Marc - 2011

The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage. For bank loans, the estimation is usually based on...

Persistent link: https://www.econbiz.de/10009487575