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EVT
Theorie
Value-at-Risk
credit risk
Risikomaß
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933
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771
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701
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Wang, Ruodu
45
Härdle, Wolfgang
42
Daníelsson, Jón
32
McAleer, Michael
27
Vries, Casper G. de
26
Rüschendorf, Ludger
24
Vanduffel, Steven
24
Rosazza Gianin, Emanuela
23
Gerlach, Richard
22
Embrechts, Paul
21
Fabozzi, Frank J.
20
Chang, Chia-Lin
19
Huschens, Stefan
19
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18
Mittnik, Stefan
18
Okhrin, Ostap
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Dhaene, Jan
17
Gouriéroux, Christian
17
Brandtner, Mario
16
Dowd, Kevin
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Righi, Marcelo Brutti
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Bernard, Carole
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Caporin, Massimiliano
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Cheung, Ka Chun
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Hoogerheide, Lennart
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Paolella, Marc S.
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Furman, Edward
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Ardia, David
13
Brigo, Damiano
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Kürsten, Wolfgang
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13
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13
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HAL
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
11
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8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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EconWPA
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Springer Fachmedien Wiesbaden
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Center for Financial Studies
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Department of Economics and Finance, College of Business and Economics
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International Monetary Fund (IMF)
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Society for Computational Economics - SCE
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Sveriges Riksbank
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institute of Economic Research, Kyoto University
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Université Paris-Dauphine (Paris IX)
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Basel Committee on Banking Supervision
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Springer-Verlag GmbH
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de Nederlandsche Bank
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Banca d'Italia
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Deutsche Bundesbank
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Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Insurance / Mathematics & economics
196
Journal of banking & finance
105
European journal of operational research : EJOR
101
Risks : open access journal
83
Finance research letters
51
Economic modelling
50
International journal of theoretical and applied finance
49
Discussion paper / Tinbergen Institute
45
Quantitative finance
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Journal of empirical finance
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Journal of risk
44
International review of financial analysis
39
The journal of credit risk : published quarterly by Incisive Media
38
International journal of forecasting
36
Applied economics
33
Journal of econometrics
32
Journal of risk and financial management : JRFM
31
The European journal of finance
30
SFB 649 discussion paper
29
Scandinavian actuarial journal
29
Finance and stochastics
28
Journal of economic dynamics & control
27
Mathematical finance : an international journal of mathematics, statistics and financial theory
27
Research paper series / Swiss Finance Institute
27
MPRA Paper
26
Computational economics
25
The journal of risk model validation
24
Mathematics and financial economics
22
SpringerLink / Bücher
22
The North American journal of economics and finance : a journal of financial economics studies
22
Tinbergen Institute Discussion Paper
22
Astin bulletin : the journal of the International Actuarial Association
21
Management science : journal of the Institute for Operations Research and the Management Sciences
21
Operations research letters
21
Energy economics
20
Operations research
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Journal of forecasting
19
Mathematics of operations research
19
The journal of operational risk
19
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Source
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ECONIS (ZBW)
4,628
RePEc
388
EconStor
117
BASE
15
Other ZBW resources
7
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1
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10
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1
Pricing CDS spreads with Credit Valuation Adjustment using a mixture
copula
Harb, Etienne
;
Louhichi, Wael
- In:
Research in international business and finance
39
(
2017
),
pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
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
Estimating dynamic
copula
dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
7
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:
8
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:
9
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:
10
Alternative capital requirement for insurers : possibilities and issues
Zariņa, Ilze
;
Voronova, Irina
;
Pettere, Gaida
- In:
International journal of economics and business …
21
(
2021
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10012508726
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