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~subject:"EVT"
~subject:"Finanzkrise"
~subject:"Value-at-Risk"
~subject:"credit risk"
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EVT
Finanzkrise
Value-at-Risk
credit risk
Risikomaß
7,521
Risk measure
7,499
Theorie
4,458
Theory
4,418
Kreditderivat
3,366
Credit derivative
3,363
Portfolio-Management
2,973
Portfolio selection
2,960
Credit risk
2,484
Kreditrisiko
2,466
Risk management
2,436
Risikomanagement
2,429
Risk
2,215
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2,206
Schätzung
1,488
Estimation
1,474
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1,256
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1,249
Messung
1,210
Statistische Verteilung
1,204
Statistical distribution
1,197
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1,190
Welt
1,189
World
1,178
ARCH-Modell
1,132
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1,126
Financial crisis
1,109
Prognoseverfahren
1,003
Forecasting model
1,000
Kapitaleinkommen
947
Capital income
944
Multivariate Verteilung
878
Multivariate distribution
878
Risikoprämie
779
Risk premium
775
Derivative
702
Derivat
701
Bank risk
674
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678
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McAleer, Michael
53
Chang, Chia-Lin
23
Allen, David E.
22
Pérez Amaral, Teodosio
20
Jiménez-Martín, Juan-Ángel
19
Daníelsson, Jón
17
Gerlach, Richard
17
Wang, Ruodu
14
Roszbach, Kasper
13
Schienle, Melanie
13
Vries, Casper G. de
13
Acharya, Viral V.
12
Härdle, Wolfgang
12
Stulz, René M.
12
Ardia, David
11
Hoogerheide, Lennart
10
Koopman, Siem Jan
10
Lindé, Jesper
10
Powell, Robert
10
Dijk, Herman K. van
9
Hammoudeh, Shawkat
9
Hautsch, Nikolaus
9
Hoogerheide, Lennart F.
9
Jacobson, Tor
9
Lucas, André
9
Mittnik, Stefan
9
Drechsler, Itamar
8
Härdle, Wolfgang Karl
8
Puccetti, Giovanni
8
Rüschendorf, Ludger
8
Schnabl, Philipp
8
Walther, Thomas
8
Weiß, Gregor
8
Borowska, Agnieszka
7
Bouri, Elie
7
Ghorbel, Ahmed
7
Gokus, Christian
7
Gouriéroux, Christian
7
Jorgensen, Bjørn N.
7
Kaserer, Christoph
7
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
26
HAL
16
Tinbergen Instituut
12
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
11
Business School, University of Sydney
8
National Bureau of Economic Research
7
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
7
Tinbergen Institute
7
EconWPA
6
Center for Financial Studies
5
Department of Economics and Finance, College of Business and Economics
5
International Monetary Fund (IMF)
5
Society for Computational Economics - SCE
5
Sveriges Riksbank
5
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Institute of Economic Research, Kyoto University
4
Université Paris-Dauphine (Paris IX)
4
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
3
Department of Economics, University of Crete
3
Economics Department, Fordham University
3
Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit
3
Fakultät für Wirtschaftswissenschaften, Technische Universität München
3
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
3
VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics
3
de Nederlandsche Bank
3
Banca d'Italia
2
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Departamento de Economía, Universidad Carlos III de Madrid
2
Department of Agribusiness and Applied Economics, North Dakota State University
2
Deutsche Bundesbank
2
Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Faculty of Economics, University of Cambridge
2
Finance Discipline Group, Business School
2
Hong Kong Monetary Authority
2
Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
2
Institut de Recerca en Economia Aplicada (IREA), Facultat d'Economia i Empresa
2
Institut ekonomických studií, Univerzita Karlova v Praze
2
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
2
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Published in...
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Journal of banking & finance
55
Discussion paper / Tinbergen Institute
35
Finance research letters
32
The North American journal of economics and finance : a journal of financial economics studies
30
Economic modelling
27
Insurance / Mathematics & economics
26
MPRA Paper
26
Journal of international financial markets, institutions & money
24
Journal of financial stability
23
International review of economics & finance : IREF
21
International review of financial analysis
21
Tinbergen Institute Discussion Paper
19
Tinbergen Institute Discussion Papers
19
Applied economics
18
Research in international business and finance
18
Journal of empirical finance
16
Risks : open access journal
16
Journal of international money and finance
14
The European journal of finance
14
Journal of Banking & Finance
13
Journal of risk and financial management : JRFM
12
Working paper
12
CORE Discussion Papers
11
European journal of operational research : EJOR
11
Insurance: Mathematics and Economics
10
International Journal of Theoretical and Applied Finance (IJTAF)
10
Journal of economic dynamics & control
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Research paper series / Swiss Finance Institute
10
International journal of forecasting
9
Journal of Risk and Financial Management
9
Pacific-Basin finance journal
9
The journal of credit risk : published quarterly by Incisive Media
9
CFS working paper series
8
Econometric Institute research papers
8
International journal of finance & economics : IJFE
8
Journal of econometrics
8
Post-Print / HAL
8
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
8
Working Papers / Business School, University of Sydney
8
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Source
All
ECONIS (ZBW)
1,507
RePEc
388
EconStor
93
BASE
15
Other ZBW resources
7
Showing
1
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2,010
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date (newest first)
date (oldest first)
1
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:
2
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
3
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
4
Copula
-MGARCH with continuous covariance decomposition
Herwartz, Helmut
;
Raters, Fabian H. C.
- In:
Economics letters
133
(
2015
),
pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
Saved in:
5
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
6
Is Bitcoin a better portfolio diversifier than gold? : a
copula
and sectoral analysis for China
Pho, Kim-Hung
;
Ly, Sel
;
Lu, Richard
;
Hoang, Thi Hong Van
; …
- In:
International review of financial analysis
74
(
2021
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
Saved in:
7
Dependency between risks and the insurer's economic capital : a
copula
-based GARCH model
Shim, Jeungbo
;
Lee, Seung-Hwan
- In:
Asia-Pacific journal of risk and insurance : APJRI
11
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
Saved in:
8
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.
;
Tauer, Loren W.
- In:
American journal of agricultural economics
98
(
2016
)
5
,
pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
Saved in:
9
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
10
Essays in Financial Economics
Sobott, Jonas Karl
-
2017
Persistent link: https://www.econbiz.de/10012794977
Saved in:
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