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~subject:"Value-at-Risk"
~subject:"credit risk"
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EVT
Value-at-Risk
credit risk
Risikomaß
7,368
Risk measure
7,347
Theorie
4,381
Theory
4,341
Kreditderivat
3,316
Credit derivative
3,313
Portfolio-Management
2,892
Portfolio selection
2,879
Credit risk
2,441
Kreditrisiko
2,424
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2,376
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2,372
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2,146
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2,138
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1,453
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1,439
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1,220
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1,213
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1,178
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1,175
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1,168
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1,158
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1,155
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1,144
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1,103
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1,097
Financial crisis
1,089
Finanzkrise
1,078
Prognoseverfahren
964
Forecasting model
961
Kapitaleinkommen
923
Capital income
920
Multivariate Verteilung
861
Multivariate distribution
861
Risikoprämie
761
Risk premium
757
Derivative
694
Derivat
693
Bankrisiko
655
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McAleer, Michael
25
Chang, Chia-Lin
19
Gerlach, Richard
17
Daníelsson, Jón
14
Wang, Ruodu
14
Roszbach, Kasper
13
Vries, Casper G. de
13
Ardia, David
11
Hoogerheide, Lennart
10
Härdle, Wolfgang
10
Lindé, Jesper
10
Dijk, Herman K. van
9
Hoogerheide, Lennart F.
9
Jacobson, Tor
9
Mittnik, Stefan
9
Allen, David E.
8
Hautsch, Nikolaus
8
Härdle, Wolfgang Karl
8
Puccetti, Giovanni
8
Borowska, Agnieszka
7
Jiménez-Martín, Juan-Ángel
7
Jorgensen, Bjørn N.
7
Koopman, Siem Jan
7
Rüschendorf, Ludger
7
Walther, Thomas
7
Betz, Frank
6
Carling, Kenneth
6
Chen, Qian
6
Embrechts, Paul
6
Francq, Christian
6
Kaserer, Christoph
6
Kole, Erik
6
Linton, Oliver
6
Maasoumi, Esfandiar
6
Mierzejewski, Fernando
6
Opschoor, Anne
6
Schienle, Melanie
6
Stange, Sebastian
6
Bauwens, Luc
5
Chen, Cathy W.S.
5
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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
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
London School of Economics (LSE)
2
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MPRA Paper
26
Insurance / Mathematics & economics
24
Discussion paper / Tinbergen Institute
20
Tinbergen Institute Discussion Paper
19
Tinbergen Institute Discussion Papers
19
Journal of Banking & Finance
13
Journal of banking & finance
13
Risks : open access journal
12
CORE Discussion Papers
11
Insurance: Mathematics and Economics
10
International Journal of Theoretical and Applied Finance (IJTAF)
10
Economic modelling
9
Journal of Risk and Financial Management
9
Post-Print / HAL
8
Working Papers / Business School, University of Sydney
8
Working Papers / HAL
8
CFS Working Paper Series
7
International journal of forecasting
7
Journal of empirical finance
7
Journal of risk and financial management : JRFM
7
Risks
7
SFB 649 Discussion Paper
7
SFB 649 Discussion Papers
7
The North American journal of economics and finance : a journal of financial economics studies
7
European journal of operational research : EJOR
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Research in international business and finance
6
Serie Research Memoranda
6
Finance
5
Finance research letters
5
International review of economics & finance : IREF
5
International review of financial analysis
5
Journal of business economics and management
5
Journal of econometrics
5
Journal of mathematical finance
5
Sveriges Riksbank Working Paper Series
5
The European journal of finance
5
The journal of credit risk : published quarterly by Incisive Media
5
Working Paper Series / Sveriges Riksbank
5
Working Papers in Economics
5
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ECONIS (ZBW)
423
RePEc
388
EconStor
93
BASE
15
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Essays in Financial Economics
Sobott, Jonas Karl
-
2017
Persistent link: https://www.econbiz.de/10012794977
Saved in:
9
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob
;
Löderbusch, Matthias
- In:
The journal of credit risk : published quarterly by …
13
(
2017
)
4
,
pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
Saved in:
10
Forecasting liquidity-adjusted VaR : a conditional EVT-
copula
approach
Karmakar, Madhusudan
;
Khadotra, Ravi
- In:
Review of financial economics : RFE
41
(
2023
)
3
,
pp. 283-321
Persistent link: https://www.econbiz.de/10014336153
Saved in:
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