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isPartOf:"Journal of risk"
~subject:"Kreditrisiko"
~subject:"Mathematische Optimierung"
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Kreditrisiko
Mathematische Optimierung
Portfolio-Management
105
Portfolio selection
104
Risikomaß
55
Risk measure
55
Risikomanagement
39
Risk management
39
Theorie
39
Theory
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Risiko
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Risk
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Estimation
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Schätzung
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Credit risk
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risk management
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Statistische Verteilung
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portfolio optimization
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value-at-risk (VaR)
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Kwon, Roy H.
2
Baule, Rainer
1
Belles-Sampera, Jaume
1
Bertagna, Andrea
1
Boeve, Rolf
1
Butler, Andrew
1
Chen, Wei
1
Cicon, James
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Costa, Giorgio
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Deliu, Dragos
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Fermanian, Jean-David
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Fischer, Matthias
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Florentin, Clément
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Guillén, Montserrat
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Hamerle, Alfred
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Kshatriya, Saranya
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Liebig, Thilo
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Lopez, Luca
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Lütkebohmert-Holtz, Eva
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Maciag, Jakob
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Nagl, Maximilian
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Journal of risk
European journal of operational research : EJOR
128
Journal of banking & finance
54
International journal of theoretical and applied finance
48
Finance and stochastics
37
Insurance / Mathematics & economics
36
The journal of credit risk : published quarterly by Incisive Media
34
Finance research letters
32
Research paper series / Swiss Finance Institute
31
Quantitative finance
30
Computational economics
27
Computers & operations research : and their applications to problems of world concern ; an international journal
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Mathematics and financial economics
22
Risks : open access journal
22
Discussion paper / Deutsche Bundesbank
21
Journal of economic dynamics & control
21
Journal of financial stability
19
Journal of mathematical finance
19
Journal of the Operational Research Society
19
The journal of risk model validation
19
Discussion Paper Series 2
18
Journal of risk management in financial institutions
18
Swiss Finance Institute Research Paper
18
Management science : journal of the Institute for Operations Research and the Management Sciences
17
OR spectrum : quantitative approaches in management
17
Operations research
17
Bundesbank Series 2 Discussion Paper
16
Computational Management Science : CMS
16
SpringerLink / Bücher
16
The journal of asset management
16
Operations research letters
15
Mathematics of operations research
14
Operational research : an international journal
14
Journal of risk and financial management : JRFM
13
The European journal of finance
13
Applied mathematical finance
12
Economic modelling
12
International journal of financial engineering
12
Journal of the Operational Research Society : OR
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1
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
2
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
3
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
4
A regime-switching factor model for mean-variance optimization
Costa, Giorgio
;
Kwon, Roy H.
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
Saved in:
5
An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea
;
Deliu, Dragos
;
Lopez, Luca
;
Nassigh, Aldo
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
Saved in:
6
Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
Saved in:
7
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
Journal of risk
20
(
2017/2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
Saved in:
8
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
9
Optimal asset management for defined-contribution pension funds with default risk
Shibo, Bian
;
Cicon, James
;
Zhang, Yi
- In:
Journal of risk
19
(
2016
)
1
,
pp. 63-76
Persistent link: https://www.econbiz.de/10011579786
Saved in:
10
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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