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subject:"Basel Accord"
subject:"Basler Eigenkapitalvereinbarung <2001>"
~isPartOf:"Journal of empirical finance"
~language:"eng"
~subject:"Risikomodell"
~subject:"Risk measure"
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Basel Accord
Basler Eigenkapitalvereinbarung <2001>
Risikomodell
Risk measure
Risikomanagement
31
Risk management
31
Theorie
21
Theory
21
Portfolio selection
13
Portfolio-Management
13
Risikomaß
12
Risiko
11
Risk
11
Statistical distribution
6
Statistische Verteilung
6
Credit risk
5
Hedging
5
Kreditrisiko
5
Capital income
4
Estimation
4
Extreme value theory
4
Kapitaleinkommen
4
Outliers
4
Schätzung
4
ARCH model
3
ARCH-Modell
3
Ausreißer
3
CAPM
3
Bank
2
Bank risk
2
Bankrisiko
2
Credit derivative
2
Derivat
2
Derivative
2
Estimation theory
2
Financial crisis
2
Finanzkrise
2
Hedge fund
2
Hedgefonds
2
Insolvency
2
Insolvenz
2
Japan
2
Kreditderivat
2
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13
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English
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Allen, David
1
Almeida, Helena Tenório Veiga de
1
Bernardi, Mauro
1
Cai, Jun
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Christoffersen, Peter F.
1
Du, Jiangze
1
Fabozzi, Frank J.
1
Fries, Christian
1
Grané, Aurea
1
Hahn, Jinyong
1
Hsu, Yuan-Teng
1
Huang, Lin
1
Inoue, Atsushi
1
Kao, Tzu-Chuan
1
Kao, Wei-Shun
1
Kiefer, Nicholas Maximilian
1
Lin, Chu-Hsiung
1
Lizieri, Colin
1
Mainik, Georg
1
Marcus, Alan J.
1
Maruotti, Antonello
1
Mitov, Georgi
1
Nigbur, Tobias
1
Ortobelli, Sergio
1
Petrella, Lea
1
Račev, Svetlozar T.
1
Rhee, S. Ghon
1
Rüschendorf, Ludger
1
Satchell, Stephen
1
Seeger, Norman
1
Sun, Pengfei
1
Wang, Jying-Nan
1
Wu, Feng
1
Yang, Huan
1
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Published in...
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Journal of empirical finance
Insurance / Mathematics & economics
139
Risks : open access journal
79
Journal of banking & finance
70
The journal of operational risk
62
European journal of operational research : EJOR
51
Journal of risk management in financial institutions
49
Journal of risk
42
Economic modelling
31
Finance research letters
31
The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association
26
The journal of risk model validation
26
Energy economics
25
The North American journal of economics and finance : a journal of financial economics studies
25
International review of financial analysis
22
Journal of risk and financial management : JRFM
22
Quantitative finance
18
SpringerLink / Bücher
18
The European journal of finance
18
Discussion paper / Tinbergen Institute
17
Scandinavian actuarial journal
17
Applied economics
16
International journal of theoretical and applied finance
16
International review of economics & finance : IREF
16
Research paper series / Swiss Finance Institute
15
Finance and stochastics
14
The journal of credit risk : published quarterly by Incisive Media
14
Astin bulletin : the journal of the International Actuarial Association
13
International journal of forecasting
13
Journal of financial stability
13
Research in international business and finance
13
International journal of risk assessment and management : IJRAM
12
Journal of econometrics
12
Journal of financial regulation and compliance : an international journal
12
Wiley finance series
12
Working papers
12
Journal of international financial markets, institutions & money
11
Journal of mathematical finance
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
The journal of risk and insurance : the journal of the American Risk and Insurance Association
11
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ECONIS (ZBW)
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1
Bank stocks, risk factors, and tail behavior
Yang, Huan
;
Cai, Jun
;
Huang, Lin
;
Marcus, Alan J.
- In:
Journal of empirical finance
63
(
2021
),
pp. 203-229
Persistent link: https://www.econbiz.de/10013259284
Saved in:
2
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
Saved in:
3
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
4
Measuring long-term tail risk : evaluating the performance of the square-root-of-time rule
Wang, Jying-Nan
;
Du, Jiangze
;
Hsu, Yuan-Teng
- In:
Journal of empirical finance
47
(
2018
),
pp. 120-138
Persistent link: https://www.econbiz.de/10012103480
Saved in:
5
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
6
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
7
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
8
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
9
Diagnosing the distribution of GARCH innovations
Sun, Pengfei
;
Chen Zhou
- In:
Journal of empirical finance
29
(
2014
),
pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
Saved in:
10
Outliers, GARCH-type models and risk measures : a comparison of several approaches
Grané, Aurea
;
Almeida, Helena Tenório Veiga de
- In:
Journal of empirical finance
26
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10010472010
Saved in:
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