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Risk measure
Risikomanagement
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6,105
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3,715
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21
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18
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17
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16
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14
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11
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10
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9
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9
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8
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7
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7
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7
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7
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6
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6
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55
Journal of banking & finance
52
European journal of operational research : EJOR
40
Journal of risk
40
Finance research letters
31
Economic modelling
27
Energy economics
27
The journal of operational risk
27
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23
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23
International review of financial analysis
20
Journal of risk management in financial institutions
20
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20
International review of economics & finance : IREF
16
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15
Journal of risk and financial management : JRFM
15
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14
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14
International journal of forecasting
13
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13
The European journal of finance
13
Finance and stochastics
12
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12
Journal of empirical finance
12
SpringerLink / Bücher
12
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12
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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
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8
Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
2,226
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251
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
252
Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
Saved in:
253
Drawdown risk measures for asset portfolios with high frequency data
Masala, Giovanni
;
Petroni, Filippo
- In:
Annals of finance
19
(
2023
)
2
,
pp. 265-289
Persistent link: https://www.econbiz.de/10014326787
Saved in:
254
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
Saved in:
255
Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois
;
Schlotter, Ruben
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1657-1678
Persistent link: https://www.econbiz.de/10014329353
Saved in:
256
Risk parity : An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses
Mohabbati-Kalejahi, Nasrin
;
Vinel, Alexander
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 797-810
Persistent link: https://www.econbiz.de/10014332139
Saved in:
257
Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Wang, Wei
;
Xu, Huifu
;
Ma, Tiejun
- In:
European journal of operational research : EJOR
306
(
2023
)
1
,
pp. 322-347
Persistent link: https://www.econbiz.de/10014278005
Saved in:
258
Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan
;
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
41
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
Saved in:
259
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
260
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:
261
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
262
Securitization of pandemic risk by using coronabond
Haffar, Adlane
;
Le Fur, Eric
;
Khordj, Mohamed
- In:
Financial markets and portfolio management
37
(
2023
)
2
,
pp. 209-229
Persistent link: https://www.econbiz.de/10014321858
Saved in:
263
Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
Dacorogna, Michel M.
;
Debbabi, Nehla
;
Kratz, Marie
- In:
European journal of operational research : EJOR
311
(
2023
)
2
,
pp. 708-729
Persistent link: https://www.econbiz.de/10014336745
Saved in:
264
Production planning with risk hedging under a conditional value at risk objective
Wang, Liao
;
Yao, David D.
- In:
Operations research
71
(
2023
)
4
,
pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
Saved in:
265
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
266
Range-based risk measures and their applications
Righi, Marcelo Brutti
;
Müller, Fernanda Maria
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
3
,
pp. 636-657
Persistent link: https://www.econbiz.de/10014342970
Saved in:
267
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Dai, Yun-Shi
;
Dai, Peng-Fei
;
Zhou, Wei-Xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014482970
Saved in:
268
Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
Ren, Xiaohang
;
Li, Yiying
;
Sun, Xianming
;
Bu, Ruijun
; …
- In:
Energy economics
126
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483599
Saved in:
269
GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong
;
Li, Min-Jian
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
Saved in:
270
Integrated stock-bond portfolio management
Pang, Xiaochuan
;
Wu, Shuping
;
Zhu, Shushang
- In:
The journal of investment strategies
12
(
2023
)
3
,
pp. 23-51
Persistent link: https://www.econbiz.de/10014484654
Saved in:
271
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
272
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
273
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
274
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk : JOR
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014487093
Saved in:
275
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk : JOR
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014487101
Saved in:
276
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk : JOR
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
Saved in:
277
Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter
- In:
Journal of risk management in financial institutions
17
(
2023
)
1
,
pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
Saved in:
278
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:
279
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:
280
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:
281
The case for CASE : estimating heterogeneous systemic effects
Du, Zaichao
;
Escanciano, Juan Carlos
;
Zhu, Guangwei
- In:
Journal of banking & finance
157
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014490722
Saved in:
282
Tail risk contagion across electricity markets in crisis periods
Abdullah, Mohammad
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014490825
Saved in:
283
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
Saved in:
284
The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall : a Complete Realized Exponential GARCH-X approach
Naimoli, Antonio
- In:
International economics : a journal published by CEPII …
176
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014468603
Saved in:
285
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
286
Identifying systemic risk of assets during international financial crises using Value at Risk elasticities
Borer, Daniel
;
Perera, Devmali
;
Fitriya Fauzi
;
Chau …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014469916
Saved in:
287
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
288
ESG tail risk : the Covid-19 market crash analysis
Lashkaripour, Mohammadhossein
- In:
Finance research letters
53
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014472312
Saved in:
289
Integrating ESG risks into value-at-risk
Capelli, Paolo
;
Ielasi, Federica
;
Russo, Angeloantonio
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473247
Saved in:
290
Some systemic risk indicators
El Qalli, Yassine
;
Said, Khalil
- In:
Risk and decision analysis
9
(
2023
)
2/4
,
pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
Saved in:
291
Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu
;
Gao, Yu
;
Shu, Lei
;
Zhu, Xiaonan
- In:
Finance research letters
56
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
Saved in:
292
Downside and upside risk spillovers between financial industry and real economy based on linear and nonlinear networks
Xiang, Youtao
;
Borjigin, Sumuya
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 1337-1374
Persistent link: https://www.econbiz.de/10014475128
Saved in:
293
How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong
;
Li, Min-Jian
;
Xu, Xin
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
Saved in:
294
Tail risk transmission in technology-driven markets
Naeem, Muhammad Abubakr
;
Shahzad, Mohammad Rahim
; …
- In:
Global finance journal
57
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014479101
Saved in:
295
Risk implications of dependence in the commodities : a copula-based analysis
Jain, Prachi
;
Maitra, Debasish
- In:
Global finance journal
57
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014479135
Saved in:
296
From BASEL III to BASEL IV and beyond : expected shortfall and expectile risk measures
Zaevski, Tsvetelin S.
;
Nedeltchev, Dragomir C.
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460567
Saved in:
297
VaR model for managing market risk of portfolio
Pribadi, Firman
;
Surwanti, Arni
;
Shih, Wen-Chung
- In:
Macroeconomic risk and growth in the Southeast Asian …
,
(pp. 165-172)
.
2023
Persistent link: https://www.econbiz.de/10014462381
Saved in:
298
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
299
Can firms with higher ESG ratings bear higher bank systemic tail risk spillover? : evidence from Chinese A-share market
Ling, Aifan
;
Li, Jinlong
;
Zhang, Yugui
- In:
Pacific-Basin finance journal
80
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463311
Saved in:
300
Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Barbagli, Matteo
;
Vrins, Frédéric
- In:
Economic modelling
125
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463531
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