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~subject:"Risk measure"
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A Simplified Method for Calcul...
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Risk measure
Theorie
21
Theory
21
Risikomaß
15
Credit risk
10
Kreditrisiko
10
Japan
9
Portfolio selection
7
Portfolio-Management
7
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Measurement
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Volatilität
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risk aggregation
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Collateral
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Exposure at default (EaD)
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Interest rate derivative
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Kreditsicherung
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Loss given default (LGD)
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Multivariate Verteilung
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Multivariate distribution
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Probability of default (PD)
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Schätzung
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Statistical distribution
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Statistische Verteilung
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Verlust
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Zinsderivat
3
copula
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8
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7
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English
15
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Yoshiba, Toshinao
13
Yamai, Yasuhiro
9
Ieda, Akira
2
Marumo, Kohei
2
Marumo, Kouhei
2
Wolff, Rodney
1
Wolff, Rodney C.
1
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IMES discussion paper series
5
Monetary and economic studies
5
Journal of risk
2
Bank of Japan working paper series
1
IMES discussion paper series / Englische Ausgabe
1
Journal of banking & finance
1
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ECONIS (ZBW)
15
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1
A simplified method for calculating the credit risk of lending portfolios
Ieda, Akira
;
Marumo, Kouhei
;
Yoshiba, Toshinao
-
2000
Persistent link: https://www.econbiz.de/10001479160
Saved in:
2
A simplified method for calculating the credit risk of lending portfolios
Ieda, Akira
;
Marumo, Kouhei
;
Yoshiba, Toshinao
- In:
Monetary and economic studies
18
(
2000
)
2
,
pp. 49-82
Persistent link: https://www.econbiz.de/10001539610
Saved in:
3
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
Marumo, Kohei
;
Wolff, Rodney C.
- In:
Journal of risk
18
(
2015/2016
)
3
,
pp. 47-76
Persistent link: https://www.econbiz.de/10011439101
Saved in:
4
Expansion methods applied to asset return distributions
Marumo, Kohei
;
Wolff, Rodney
- In:
Journal of risk
10
(
2007/08
)
2
,
pp. 3-24
Persistent link: https://www.econbiz.de/10003643647
Saved in:
5
Risk aggregation with copula for banking industry
Yoshiba, Toshinao
-
2015
Persistent link: https://www.econbiz.de/10011375924
Saved in:
6
Risk aggregation by a copula with a stressed condition
Yoshiba, Toshinao
-
2013
Persistent link: https://www.econbiz.de/10010189914
Saved in:
7
Value-at-risk versus expected shortfall : a practical perspective
Yamai, Yasuhiro
;
Yoshiba, Toshinao
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 997-1015
Persistent link: https://www.econbiz.de/10002601150
Saved in:
8
Comparative analyses of expected shortfall and VaR : their estimation error, decomposition, and optimization
Yamai, Yasuhiro
;
Yoshiba, Toshinao
-
2001
Persistent link: https://www.econbiz.de/10001598298
Saved in:
9
Comparative analyses of expected shortfall and value-at-risk [Teil] 3: their validity under market stress
Yamai, Yasuhiro
;
Yoshiba, Toshinao
- In:
Monetary and economic studies
20
(
2002
)
3
,
pp. 181-237
Persistent link: https://www.econbiz.de/10001705659
Saved in:
10
On the validity of value-at-risk : comparative analyses with expected shortfall
Yamai, Yasuhiro
;
Yoshiba, Toshinao
- In:
Monetary and economic studies
20
(
2002
)
1
,
pp. 57-85
Persistent link: https://www.econbiz.de/10001636734
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