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subject:"Risk measure"
subject:"Theorie"
~language:"eng"
~institution:"Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes"
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Risk measure
Theorie
Measurement
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Messung
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Risiko
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Risikomanagement
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Risikomaß
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Risk
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Risk management
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Aktienindex
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Ausreißer
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Estimation
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Extremal Index
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Independence
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Outliers
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Portfolio selection
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Portfolio-Management
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Risk measures
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Statistical test
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Stock index
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Theory
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VaR Backtesting
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asymptotic exponential distribution
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expected shortfall
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Bücher, Axel
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Klüppelberg, Claudia
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Posch, Peter N.
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Schmidtke, Philipp
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Seifert, Miriam
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
National Bureau of Economic Research
36
Springer-Verlag GmbH
4
Center for Economic Research <Tilburg>
3
Edward Elgar Publishing
3
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Springer Fachmedien Wiesbaden
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Universität Augsburg / Institut für Volkswirtschaftslehre
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Basel Committee on Banking Supervision
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Ekonomiska forskningsinstitutet <Stockholm>
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Foerder Institute for Economic Research <Tēl-Āvîv>
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Gottfried Wilhelm Leibniz Universität Hannover
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Institute of Finance and Accounting <London>
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Nomos Verlagsgesellschaft
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OECD
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Technische Universität Dresden
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Verlag Wissenschaft & Praxis Dr. Brauner GmbH
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epubli GmbH
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Amternes og Kommunernes Forskningsinstitut <Kopenhagen>
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
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ECONIS (ZBW)
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012035248
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2
Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
-
Sonderforschungsbereich Statistical Modelling of …
-
2018
Persistent link: https://www.econbiz.de/10011921089
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