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~person:"Chang, Chia-Lin"
~person:"Pérez Amaral, Teodosio"
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Search: subject:"Value-at-risk"
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Risikomaß
47
Basel Accord
45
Risk measure
45
Basler Akkord
35
Portfolio-Management
23
Finanzkrise
22
Portfolio selection
22
Financial crisis
21
VIX futures
18
Welt
18
World
18
Volatility
17
Forecasting model
16
Prognoseverfahren
16
Value-at-Risk
16
Volatilität
15
Risk management
13
Value-at-Risk (VaR)
11
Global financial crisis
10
risk management
10
ARCH model
9
ARCH-Modell
9
Daily capital charges
9
daily capital charges
9
violation penalties
9
Dynamic price integration
8
Optimizing strategy
8
Spillover-Effekt
8
mixture models
8
optimizing strategy
8
quantiles
8
BRICS
7
Median strategy
7
Risikomanagement
7
Spillover effect
7
Violation penalties
7
aggressive risk management
7
conservative risk management
7
Bank
6
Basel III Accord
6
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Free
54
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Book / Working Paper
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Working Paper
36
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32
Graue Literatur
32
Non-commercial literature
32
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9
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English
53
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Author
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Chang, Chia-Lin
Pérez Amaral, Teodosio
McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Wang, Ruodu
49
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Brandtner, Mario
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
22
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
5
Department of Economics and Finance, College of Business and Economics
4
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
Institute of Economic Research, Kyoto University
4
Tinbergen Instituut
2
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Econometric Institute research papers
15
Working paper
9
Discussion paper / Tinbergen Institute
8
Documentos de Trabajo del ICAE
5
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4
KIER Working Papers
4
Tinbergen Institute Discussion Paper
4
Working Papers in Economics
4
Journal of forecasting
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion Papers
2
Energy economics
1
International review of economics & finance : IREF
1
Journal of econometrics
1
Journal of economic surveys
1
Managerial finance
1
Mathematics and Computers in Simulation (MATCOM)
1
The North American Journal of Economics and Finance
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ECONIS (ZBW)
45
RePEc
21
EconStor
4
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1
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011431395
Saved in:
2
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10010532611
Saved in:
3
Choosing Expected Shortfall Over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin
-
2016
) recommends bank risk managers to shift the current quantitative risk metrics system, based on
Value-at-Risk
(VaR), to Expected …We compare
Value
at
Risk
(VaR) and Expected Shortfall (ES) following a Stochastic Dominance (SD) approach frequently …
Persistent link: https://www.econbiz.de/10012996938
Saved in:
4
GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel
;
McAleer, Michael
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009765824
Saved in:
5
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009767001
Saved in:
6
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2013
Persistent link: https://www.econbiz.de/10009724104
Saved in:
7
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
8
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
9
Has the Basel Accord improved risk management during the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
-
Revised: October 2012
Persistent link: https://www.econbiz.de/10010360666
Saved in:
10
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
Persistent link: https://www.econbiz.de/10010360674
Saved in:
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