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subject:"Portfolio-Management"
type_genre:"Lehrbuch"
~isPartOf:"The journal of risk model validation"
~subject:"Derivative"
~type_genre:"Article in journal"
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Portfolio-Management
Derivative
Risikomanagement
44
Risk management
44
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20
Credit risk
15
Kreditrisiko
15
Theorie
14
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backtesting
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value-at-risk (VaR)
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credit risk
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Chen, Wei
2
Skoglund, Jimmy
2
Dekker, Peter
1
Erdman, Donald
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Gonpot, Preethee Nunkoo
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Heemskerk, Marc
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Jacobs, Michael <Jr.>
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Karagozoglu, Ahmet K.
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Kontaxis, Grigorios
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Lin, Liyi
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Mager, Ferdinand
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Novosyolov, Arcady
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Tsolas, Ioannis E.
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Wilkens, Sascha
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The journal of risk model validation
Insurance / Mathematics & economics
104
Journal of banking & finance
70
European journal of operational research : EJOR
54
Risks : open access journal
46
Journal of risk
41
Finance research letters
38
Journal of risk management in financial institutions
37
Energy economics
30
Quantitative finance
30
The journal of portfolio management : JPM
30
International review of financial analysis
29
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of risk and financial management : JRFM
24
The journal of portfolio management : a publication of Institutional Investor
24
International review of economics & finance : IREF
22
International journal of theoretical and applied finance
21
The journal of asset management
21
Economic modelling
19
The journal of investing
18
Applied economics
17
Risiko-Manager
17
The European journal of finance
17
Journal of empirical finance
15
Journal of investment management : JOIM
14
The journal of credit risk : published quarterly by Incisive Media
14
Finance and stochastics
13
Scandinavian actuarial journal
13
The journal of futures markets
13
The journal of investment strategies
13
International Journal of Financial Studies : open access journal
12
International journal of financial engineering
12
Journal of risk finance : the convergence of financial products and insurance
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Investment management and financial innovations
11
Journal of financial stability
11
Research in international business and finance
11
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
11
ASTIN bulletin : the journal of the International Actuarial Association
10
Agricultural finance review
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ECONIS (ZBW)
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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
Evaluating the credit exposure of interest rate derivatives under the real-world measure
Yasuoka, Takashi
- In:
The journal of risk model validation
12
(
2018
)
4
,
pp. 69-95
Persistent link: https://www.econbiz.de/10011992271
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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:
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