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subject:"Risk measure"
subject:"Theorie"
~subject:"Projektmanagement"
~isPartOf:"Journal of risk"
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Risk measure
Theorie
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Risikomanagement
75
Risk management
75
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40
Portfolio selection
39
Portfolio-Management
39
Theory
32
risk management
23
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20
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20
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value-at-risk (VaR)
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5
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5
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2
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1
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Arici, G.
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Journal of risk
Insurance / Mathematics & economics
176
European journal of operational research : EJOR
129
Journal of banking & finance
103
Risks : open access journal
96
International journal of project management : the journal of The International Project Management Association
91
SpringerLink / Bücher
77
The journal of operational risk
49
Finance research letters
44
Europäische Hochschulschriften / 5
39
Journal of risk management in financial institutions
39
Energy economics
38
Journal of risk and financial management : JRFM
36
Gabler Edition Wissenschaft
35
NBER working paper series
35
Economic modelling
34
International journal of production economics
31
Working paper / National Bureau of Economic Research, Inc.
31
International journal of production research
30
International journal of theoretical and applied finance
28
Management science : journal of the Institute for Operations Research and the Management Sciences
28
The North American journal of economics and finance : a journal of financial economics studies
28
International journal of project organisation & management : IJPOM
27
Quantitative finance
27
Research paper series / Swiss Finance Institute
27
NBER Working Paper
26
The journal of risk model validation
26
Discussion paper / Tinbergen Institute
25
International review of economics & finance : IREF
24
Journal of empirical finance
24
International review of financial analysis
23
The European journal of finance
23
International journal of risk assessment and management : IJRAM
22
Finance and stochastics
21
International journal of managing projects in business
21
Project management journal : PMJ
21
Scandinavian actuarial journal
21
Applied economics
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Discussion paper / Centre for Economic Policy Research
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IEEE transactions on engineering management : EM
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1
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
2
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
3
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
4
Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo
;
Börner, Christoph J.
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012500249
Saved in:
5
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
6
Optimal equity protection of Solvency II regulated portfolios
Vaucher, Benoit
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 69-81
Persistent link: https://www.econbiz.de/10011847474
Saved in:
7
The quickest way to lose the money you cannot afford to lose : reverse stress testing with maximum entropy
Rebonato, Riccardo
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 83-93
Persistent link: https://www.econbiz.de/10011847481
Saved in:
8
A numerical approach to the risk capital allocation problem
Gzyl, Henryk
;
Mayoral, Silvia
- In:
Journal of risk
23
(
2021
)
5
,
pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
Saved in:
9
Optimal foreign exchange hedge tenor with liquidity risk
Zhang, Rongju
;
Aarons, Mark
;
Loeper, Gregoire
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012500295
Saved in:
10
Analytical method for computing stressed value-at-risk with conditional value-at-risk
Hong, KiHoon
- In:
Journal of risk
19
(
2016/2017
)
3
,
pp. 85-106
Persistent link: https://www.econbiz.de/10011689731
Saved in:
11
Does higher-frequency data always help to predict longer-horizon volatility?
Charoenwong, Ben
;
Feng, Guanhao
- In:
Journal of risk
19
(
2017
)
5
,
pp. 55-75
Persistent link: https://www.econbiz.de/10011747111
Saved in:
12
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
Saved in:
13
Risk management for private equity funds
Buchner, Axel
- In:
Journal of risk
19
(
2017
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011799119
Saved in:
14
Risk management and regulation
Adrian, Tobias
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 23-57
Persistent link: https://www.econbiz.de/10011847421
Saved in:
15
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D.
- In:
Journal of risk
19
(
2016
)
1
,
pp. 43-61
Persistent link: https://www.econbiz.de/10011579769
Saved in:
16
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
17
Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Journal of risk
19
(
2016
)
2
,
pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
Saved in:
18
Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti
;
Ceretta, Paulo Sergio
- In:
Journal of risk
19
(
2016
)
2
,
pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
Saved in:
19
Risk measures and the impact of asset price bubbles
Jarrow, Robert A.
;
Silva, Felipe Bastos Gurgel
- In:
Journal of risk
17
(
2014/15
)
3
,
pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
Saved in:
20
Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
Saved in:
21
From log-optimal portfolio theory to risk measures : logarithmic expected shortfall
Arici, G.
;
Dalai, M.
;
Leonardi, Roberto
- In:
Journal of risk
22
(
2019
)
2
,
pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
Saved in:
22
Impact of D-Vine structure on risk estimation
Bolancé, Catalina
;
Alemany, Ramon
;
Padilla Barreto, …
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011914672
Saved in:
23
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
24
Initial margin with risky collateral
Shi, Ming
;
Yu, Xinxin
;
Zhang, Ke
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011847469
Saved in:
25
The temporal dimension of risk
Mahmoud, Ola
- In:
Journal of risk
19
(
2016/2017
)
3
,
pp. 57-83
Persistent link: https://www.econbiz.de/10011689723
Saved in:
26
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
27
A Darwinian view on internal models
Embrechts, Paul
- In:
Journal of risk
20
(
2017/2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011847418
Saved in:
28
Modeling redemption risks of mutual funds using extreme value theory
Desmettre, Sascha
;
Deege, Matthias
- In:
Journal of risk
18
(
2016
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011620647
Saved in:
29
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
30
Path-consistent wrong-way risk : a structural model approach
Hofer, Markus
- In:
Journal of risk
19
(
2016
)
1
,
pp. 25-42
Persistent link: https://www.econbiz.de/10011579756
Saved in:
31
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
32
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
33
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
Kinateder, Harald
- In:
Journal of risk
18
(
2015/2016
)
3
,
pp. 25-45
Persistent link: https://www.econbiz.de/10011439046
Saved in:
34
The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny
;
Constantinou, Nick
;
Wing Lon Ng
- In:
Journal of risk
17
(
2014/2015
)
4
,
pp. 71-99
Persistent link: https://www.econbiz.de/10013262935
Saved in:
35
Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation
Auer, Benjamin R.
- In:
Journal of risk
18
(
2015/2016
)
1
,
pp. 27-44
Persistent link: https://www.econbiz.de/10013262944
Saved in:
36
A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments
Lau, Christian
- In:
Journal of risk
17
(
2014/2015
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10013262937
Saved in:
37
The impact of model risk on capital reserves : a quantitative analysis
Bertram, Philip
;
Sibbertsen, Philipp
;
Stahl, Gerhard
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 69-97
Persistent link: https://www.econbiz.de/10011438894
Saved in:
38
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
39
Applying the Cornish-Fisher expansion to value-at-risk estimation in Islamic banking
Izhar, Hylmun
- In:
Journal of risk
17
(
2014/2015
)
6
,
pp. 51-72
Persistent link: https://www.econbiz.de/10011438927
Saved in:
40
Commodity risk hedging through risk sharing : reengineering Islamic forwards
Kafou, Ali
;
Chakir, Ahmed
- In:
Journal of risk
17
(
2014/2015
)
6
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011438937
Saved in:
41
Nonnegative risk components
Staum, Jeremy
- In:
Journal of risk
18
(
2015/2016
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011438960
Saved in:
42
What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne
;
Kratz, Marie
;
Tasche, Dirk
- In:
Journal of risk
18
(
2015/2016
)
2
,
pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
Saved in:
43
Copulas and portfolio strategies : an applied risk management perspective
Berger, Theo
;
Missong, Martin
- In:
Journal of risk
17
(
2014/15
)
2
,
pp. 51-91
Persistent link: https://www.econbiz.de/10010476248
Saved in:
44
A gradual nonconvexification method for minimizing value-at-risk
Xi, Jiong
;
Coleman, Thomas F.
;
Li, Yuying
;
Tayal, Aditya
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 23-47
Persistent link: https://www.econbiz.de/10013262924
Saved in:
45
Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa
;
Tan, Ken Seng
;
Wang, Chengguo
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
Saved in:
46
Portfolio risk forecasting
Braun, Valentin
;
Hackethal, Andreas
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
Saved in:
47
Modified expected shortfall : a new robust coherent risk measure
Jadhav, Deepak
;
Ramanathan, T. V.
;
Naik-Nimbalkar, Uttara
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 69-83
Persistent link: https://www.econbiz.de/10013262918
Saved in:
48
Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang
;
Cui, Xueting
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
Saved in:
49
An estimation-free, robust conditional value-at-risk portfolio allocation model
Jabbour, Carlos
;
Peña, Javier F.
;
Vera, Juan C.
; …
- In:
Journal of risk
11
(
2008/09
)
1
,
pp. 57-78
Persistent link: https://www.econbiz.de/10003775648
Saved in:
50
A review of backtesting and backtesting procedures
Campbell, Sean D.
- In:
Journal of risk
9
(
2006/07
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10003697504
Saved in:
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