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subject:"Kreditgeschäft"
subject:"Portfolio-Management"
~isPartOf:"The journal of risk model validation"
~type_genre:"Article in journal"
~type_genre:"Glossary included"
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Kreditgeschäft
Portfolio-Management
Risikomanagement
44
Risk management
44
Risikomaß
20
Risk measure
20
Credit risk
15
Kreditrisiko
15
Theorie
14
Theory
14
Financial services
10
Finanzdienstleistung
10
Portfolio selection
10
Risiko
8
Risk
8
Statistical distribution
8
Statistische Verteilung
8
Bank risk
7
Bankrisiko
7
Basel Accord
7
Basler Akkord
7
Modellierung
7
Scientific modelling
7
backtesting
7
ARCH model
6
ARCH-Modell
6
Bankenaufsicht
6
Banking supervision
6
value-at-risk (VaR)
6
model risk
5
Forecasting model
4
Prognoseverfahren
4
Statistical test
4
Statistischer Test
4
credit risk
4
model validation
4
risk management
4
value-at-risk
4
Bank
3
China
3
Estimation theory
3
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10
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Article in journal
Glossary included
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English
10
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Chen, Wei
2
Skoglund, Jimmy
2
Dekker, Peter
1
Erdman, Donald
1
Gonpot, Preethee Nunkoo
1
Heemskerk, Marc
1
Jacobs, Michael <Jr.>
1
Karagozoglu, Ahmet K.
1
Kontaxis, Grigorios
1
Lin, Liyi
1
Mager, Ferdinand
1
Novosyolov, Arcady
1
Predescu, Mirela
1
Satchkov, Daniel
1
Schmieder, Christian
1
Sensenbrenner, Frank J.
1
Tsolas, Ioannis E.
1
Wehn, Carsten
1
Wilkens, Sascha
1
Wing, Jean Paul Chung
1
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Published in...
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The journal of risk model validation
Insurance / Mathematics & economics
98
Journal of banking & finance
62
European journal of operational research : EJOR
54
Risks : open access journal
44
Finance research letters
39
Journal of risk
39
Journal of risk management in financial institutions
35
The journal of portfolio management : JPM
30
International review of financial analysis
28
Quantitative finance
28
The North American journal of economics and finance : a journal of financial economics studies
24
The journal of portfolio management : a publication of Institutional Investor
24
Journal of risk and financial management : JRFM
23
Risiko-Manager
22
The journal of asset management
20
Economic modelling
19
International review of economics & finance : IREF
19
Die Bank
18
The journal of investing
17
International journal of theoretical and applied finance
15
The European journal of finance
15
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
15
Applied economics
14
Energy economics
14
Journal of empirical finance
14
Journal of investment management : JOIM
14
Scandinavian actuarial journal
13
The journal of investment strategies
13
Finance and stochastics
12
The journal of credit risk : published quarterly by Incisive Media
12
Management science : journal of the Institute for Operations Research and the Management Sciences
11
International journal of financial engineering
10
Journal of risk finance : the convergence of financial products and insurance
10
Operations research
10
ASTIN bulletin : the journal of the International Actuarial Association
9
Investment management and financial innovations
9
Journal of econometrics
9
Journal of international financial markets, institutions & money
9
Research in international business and finance
9
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ECONIS (ZBW)
10
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1
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
2
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
Lin, Liyi
;
Heemskerk, Marc
;
Dekker, Peter
- In:
The journal of risk model validation
12
(
2018
)
3
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011991966
Saved in:
3
Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice
Wehn, Carsten
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 17-39
Persistent link: https://www.econbiz.de/10011992015
Saved in:
4
Model risk in the Fundamental Review of the Trading Book : the case of the Default Risk Charge
Wilkens, Sascha
;
Predescu, Mirela
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 41-67
Persistent link: https://www.econbiz.de/10011992266
Saved in:
5
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
Skoglund, Jimmy
;
Chen, Wei
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 21-47
Persistent link: https://www.econbiz.de/10011671176
Saved in:
6
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
7
Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>
;
Karagozoglu, Ahmet K.
; …
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
Saved in:
8
On the time scaling af value-at-risk with trading
Skoglund, Jimmy
;
Erdman, Donald
;
Chen, Wei
- In:
The journal of risk model validation
5
(
2011
)
4
,
pp. 17-26
Persistent link: https://www.econbiz.de/10009422495
Saved in:
9
Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady
;
Satchkov, Daniel
- In:
The journal of risk model validation
4
(
2010/11
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
Saved in:
10
Stress-testing German credit portfolios
Mager, Ferdinand
;
Schmieder, Christian
- In:
The journal of risk model validation
3
(
2009/10
)
4
,
pp. 27-45
Persistent link: https://www.econbiz.de/10009262133
Saved in:
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