//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Kratz, Marie"
~subject:"Statistical test"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Value-at-risk"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
Statistical test
Risikomaß
16
Risk measure
16
Risikomanagement
8
Risk management
8
Theorie
7
Theory
7
Estimation
6
Measurement
6
Messung
6
Schätzung
6
Forecasting model
5
Prognoseverfahren
5
Risiko
5
Risk
5
Value-at-Risk
5
Diversification
4
Estimation theory
4
Schätztheorie
4
Ausreißer
3
Outliers
3
Portfolio selection
3
Portfolio-Management
3
Risikopräferenz
3
Risk attitude
3
Statistischer Test
3
VAR model
3
VAR-Modell
3
diversification
3
risk measure
3
(generalized) Central Limit Theorem
2
(refined) Berry-Esséen Inequality
2
Aggregated risk
2
Backtesting
2
Conditional (Pareto) Distribution
2
Conditional (Pareto) Moment
2
Convolution
2
Cyber risk
2
Data security
2
Datensicherheit
2
more ...
less ...
Online availability
All
Free
2
Undetermined
1
Type of publication
All
Book / Working Paper
2
Article
1
Type of publication (narrower categories)
All
Arbeitspapier
1
Article in journal
1
Aufsatz in Zeitschrift
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
Language
All
English
3
Author
All
Kratz, Marie
Escanciano, Juan Carlos
6
Wied, Dominik
6
Bormann, Carsten
5
Costanzino, Nick
5
Curran, Mike
5
Pei, Pei
5
Schienle, Melanie
5
Stahl, Gerhard
5
Wong, Woon K.
5
Ziggel, Daniel
5
Du, Zaichao
3
Hurlin, Christophe
3
Härdle, Wolfgang
3
McNeil, Alexander J.
3
Pajhede, Thor
3
Schaumburg, Julia
3
Berens, Tobias
2
Bontemps, Christian
2
Brownlees, Christian
2
Bücher, Axel
2
Campbell, Sean D.
2
Corbetta, Jacopo
2
Filer, Randall Keith
2
Gerlach, Richard
2
Harvey, Campbell R.
2
Herwartz, Helmut
2
Hoogerheide, Lennart F.
2
Leccadito, Arturo
2
León Valle, Ángel Manuel
2
Liu, Yan
2
Lok, Yen
2
López, José A.
2
Löser, Robert
2
Malecka, Marta
2
Moldenhauer, Felix
2
Mora-Valencia, Andrés
2
Olmo, Jose
2
Peri, Ilaria
2
Pitera, Marcin
2
more ...
less ...
Published in...
All
Documents de recherche / ESSEC Centre de Recherche
1
ESSEC WORKING PAPER 1617
1
Journal of banking & finance
1
Source
All
ECONIS (ZBW)
3
Showing
1
-
3
of
3
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Multinomial VAR Backtests : A Simple Implicit Approach to Backtesting Expected Shortfall
Kratz, Marie
-
2017
test of
value-at-risk
(VaR) exceptions at different levels, an idea supported by an approximation of ES in terms of …
Persistent link: https://www.econbiz.de/10012965579
Saved in:
2
Multinomial var backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen
;
McNeil, Alexander J.
-
2016
Persistent link: https://www.econbiz.de/10011892794
Saved in:
3
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->