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subject:"Risikomaß"
language:"eng"
~isPartOf:"The journal of operational risk"
~isPartOf:"Journal of financial econometrics"
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Risikomaß
Risikomanagement
151
Risk management
151
Operational risk
111
Operationelles Risiko
111
Bank risk
80
Bankrisiko
80
Financial services
52
Finanzdienstleistung
52
operational risk
47
Basel Accord
41
Basler Akkord
41
Theorie
38
Theory
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Risk measure
35
Statistical distribution
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Measurement
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Risk
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risk management
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loss distribution approach (LDA)
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Original research
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advanced measurement approach (AMA)
8
value-at-risk (VaR)
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Gao, Lijun
2
Li, Jianping
2
Mitic, Peter
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Zhu, Xiaoqian
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Abbate, Donato
1
Agostini, Alessandra
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Arunachalam, Viswanathan
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Badescu, Andrei L.
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The journal of operational risk
Journal of financial econometrics
Insurance / Mathematics & economics
93
Risks : open access journal
53
Journal of banking & finance
52
Journal of risk
40
European journal of operational research : EJOR
38
Economic modelling
27
Energy economics
25
Finance research letters
25
The North American journal of economics and finance : a journal of financial economics studies
23
Journal of risk management in financial institutions
20
The journal of risk model validation
20
International review of financial analysis
17
Quantitative finance
17
International journal of theoretical and applied finance
15
Journal of risk and financial management : JRFM
15
Applied economics
14
Discussion paper / Tinbergen Institute
14
International review of economics & finance : IREF
14
Research paper series / Swiss Finance Institute
13
The European journal of finance
13
Finance and stochastics
12
International journal of forecasting
12
Journal of econometrics
12
Journal of empirical finance
12
Working papers
11
Computational economics
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
Research in international business and finance
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
International journal of finance & economics : IJFE
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Scandinavian actuarial journal
9
The journal of credit risk : published quarterly by Incisive Media
9
Applied economics letters
8
Astin bulletin : the journal of the International Actuarial Association
8
International journal of production research
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ECONIS (ZBW)
35
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1
Backtesting value-at-risk and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
2
Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.
;
Cosslett, Stephen R.
- In:
The journal of operational risk
19
(
2024
)
1
,
pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
Saved in:
3
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
4
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
5
Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang
;
Gong, Yishan
;
Liu, Jiajun
- In:
The journal of operational risk
18
(
2023
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10014490082
Saved in:
6
How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian
;
Wang, Yinghui
;
Liu, Mingxi
;
Li, Jianping
- In:
The journal of operational risk
18
(
2023
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014490122
Saved in:
7
Credible value-at-risk
Mitic, Peter
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
8
Multilevel and tail risk management
Khalaf, Lynda
;
Leccadito, Arturo
;
Urga, Giovanni
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 839-874
Persistent link: https://www.econbiz.de/10013460029
Saved in:
9
Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van
;
Chen Zhou
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
Saved in:
10
A review of the state of the art in quantifying operational risk
Benito, Sonia
;
Martín, Carmen López
- In:
The journal of operational risk
13
(
2018
)
4
,
pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
Saved in:
11
Regulatory capital and incentives for risk model choice under Basel 3
Liu, Fred
;
Stentoft, Lars
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 53-96
Persistent link: https://www.econbiz.de/10012504312
Saved in:
12
Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat
;
Bouaddi, Mohammed
;
Karim, Talha
- In:
The journal of operational risk
16
(
2021
)
1
,
pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
Saved in:
13
Extreme value theory for operational risk in insurance : a case study
Vyskočil, Michal
;
Koudelka, Jiří
- In:
The journal of operational risk
16
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013177451
Saved in:
14
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
Saved in:
15
Maximum likelihood estimation error an operational value-at-risk stability
Larsen, Paul
- In:
The journal of operational risk
14
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012052373
Saved in:
16
Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
; …
- In:
The journal of operational risk
14
(
2019
)
2
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012052410
Saved in:
17
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
Saved in:
18
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
19
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
20
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
21
A note on the statistical robustness of risk measures
Zhelonkin, Mikhail
;
Chavez-Demoulin, Valérie
- In:
The journal of operational risk
12
(
2017
)
2
,
pp. 47-68
Persistent link: https://www.econbiz.de/10011775516
Saved in:
22
Fast, accurate and straightforward extreme quantiles of compound loss distributions
Opdyke, John Douglas
- In:
The journal of operational risk
12
(
2017
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013177180
Saved in:
23
Evaluating operational risk by an inhomogeneous counting process based on Panjer recursion
Jiménez, José Alfredo
;
Arunachalam, Viswanathan
- In:
The journal of operational risk
11
(
2016
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011518186
Saved in:
24
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Meunier, Philippe
;
Bakker, Arjan
- In:
The journal of operational risk
11
(
2016
)
2
,
pp. 31-68
Persistent link: https://www.econbiz.de/10011600225
Saved in:
25
An assessment of operational loss data and its implications for risk capital modeling
Cohen, Ruben D.
- In:
The journal of operational risk
11
(
2016
)
3
,
pp. 71-95
Persistent link: https://www.econbiz.de/10013177162
Saved in:
26
Optimal B-robust posterior distributions for operational risk
Danesi, Ivan Luciano
;
Piacenza, Fabio
;
Ruli, Erlis
; …
- In:
The journal of operational risk
11
(
2016
)
4
,
pp. 35-54
Persistent link: https://www.econbiz.de/10013177177
Saved in:
27
Bayesian operational risk models
Figini, Silvia
;
Gao, Lijun
;
Giudici, Paolo
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10011298859
Saved in:
28
Modeling correlated frequencies with application in operational risk management
Badescu, Andrei L.
;
Gong, Lan
;
Lin, X. Sheldon
;
Tang, Dameng
- In:
The journal of operational risk
10
(
2015
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011298878
Saved in:
29
Evidence, estimates and extreme values from Austria
Kerbl, Stefan
- In:
The journal of operational risk
9
(
2014/2015
)
3
,
pp. 89-123
Persistent link: https://www.econbiz.de/10013262966
Saved in:
30
The mutual-information-based variance-covariance approach : an application to operational risk aggregation in Chinese banking
Li, Jianping
;
Zhu, Xiaoqian
;
Xie, Yongjia
;
Chen, Jianming
; …
- In:
The journal of operational risk
9
(
2014/2015
)
3
,
pp. 3-19
Persistent link: https://www.econbiz.de/10013262974
Saved in:
31
A practical application of extreme value theory to operational risk in banks
Dahen, Hela
;
Dionne, Georges
;
Zajdenweber, Daniel
- In:
The journal of operational risk
5
(
2010/11
)
2
,
pp. 63-78
Persistent link: https://www.econbiz.de/10003996359
Saved in:
32
The calculation of minimum regulatory capital using single-loss approximations
Degen, Matthias
- In:
The journal of operational risk
5
(
2010/11
)
4
,
pp. 3-17
Persistent link: https://www.econbiz.de/10008823253
Saved in:
33
Combining operational loss data with expert opinions through advanced credibility theory
Agostini, Alessandra
;
Talamo, Paolo
;
Vecchione, Vittorio
- In:
The journal of operational risk
5
(
2010/11
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10003971938
Saved in:
34
Evaluation of parameter risk via first-order approximation of distortion risk measures
Erdman, Donald
;
Major, Steven
;
Rioux, Jacques
- In:
The journal of operational risk
5
(
2010/11
)
1
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003971940
Saved in:
35
Operational risk quantification using extreme value theory and copulas : from theory to practice
Gourier, Elise
;
Farkas, Walter
;
Abbate, Donato
- In:
The journal of operational risk
4
(
2009/10
)
3
,
pp. 3-26
Persistent link: https://www.econbiz.de/10003900825
Saved in:
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