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isPartOf:"CFS Working Paper Series"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Risikomanagement"
~subject:"Statistical distribution"
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Risikomanagement
Statistical distribution
Risikomaß
33
Risk measure
33
Portfolio selection
20
Portfolio-Management
20
Theorie
20
Theory
20
Value-at-Risk
9
Financial crisis
7
Finanzkrise
7
Forecasting model
7
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Schätzung
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Value at Risk
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ARCH model
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Density Forecasting
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Expected shortfall
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Mathematical programming
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Alexander, Gordon J.
1
Baptista, Alexandre M.
1
Bertsimas, Dimitris
1
Bu, Di
1
Campajola, Carlo
1
Giacometti, Rosella
1
Halbleib, Roxana
1
Kellner, Ralf
1
Lauprete, Geoffrey J.
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Liao, Yin
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Lillo, Fabrizio
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Mazzarisi, Piero
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Peng, Hongfeng
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Pohlmeier, Winfried
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Rösch, Daniel
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Schneider, Judith Christiane
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Schweizer, Nikolaus
1
Shi, Jing
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Tichý, Tomáš
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Torri, Gabriele
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Wu, Qi
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Yan, Xing
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CFS Working Paper Series
Journal of economic dynamics & control
Insurance / Mathematics & economics
139
Journal of banking & finance
71
Risks : open access journal
68
Journal of risk
51
European journal of operational research : EJOR
46
Finance research letters
37
Economic modelling
36
The journal of operational risk
35
Discussion paper / Tinbergen Institute
31
Energy economics
29
International review of financial analysis
28
The North American journal of economics and finance : a journal of financial economics studies
27
International journal of forecasting
26
The journal of risk model validation
26
Quantitative finance
25
Journal of econometrics
24
Applied economics
23
Journal of risk management in financial institutions
23
Journal of risk and financial management : JRFM
22
Journal of empirical finance
21
International journal of theoretical and applied finance
20
International review of economics & finance : IREF
20
The European journal of finance
20
Working papers
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Computational economics
18
Research paper series / Swiss Finance Institute
18
Scandinavian actuarial journal
17
Journal of financial econometrics
14
Research in international business and finance
14
Astin bulletin : the journal of the International Actuarial Association
13
Finance and stochastics
13
Journal of forecasting
13
Pacific-Basin finance journal
13
SFB 649 discussion paper
13
SpringerLink / Bücher
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Journal of international financial markets, institutions & money
12
Journal of mathematical finance
12
The journal of credit risk : published quarterly by Incisive Media
12
Applied economics letters
11
International journal of finance & economics : IJFE
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1
Network tail risk estimation in the European banking system
Torri, Gabriele
;
Giacometti, Rosella
;
Tichý, Tomáš
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012668977
Saved in:
2
Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero
;
Zaoli, Silvia
;
Campajola, Carlo
; …
- In:
Journal of economic dynamics & control
121
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012504161
Saved in:
3
Dynamic expected shortfall : a spectral decomposition of tail risk across time horizons
Bu, Di
;
Liao, Yin
;
Shi, Jing
;
Peng, Hongfeng
- In:
Journal of economic dynamics & control
108
(
2019
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012313627
Saved in:
4
Capturing deep tail risk via sequential learning of quantile dynamics
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
109
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012314027
Saved in:
5
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
Saved in:
6
Robust measurement of (heavy-tailed) risks : theory and implementation
Schneider, Judith Christiane
;
Schweizer, Nikolaus
- In:
Journal of economic dynamics & control
61
(
2015
),
pp. 152-182
Persistent link: https://www.econbiz.de/10011589518
Saved in:
7
Improving the value at risk forecasts : theory and evidence from the financial crisis
Halbleib, Roxana
;
Pohlmeier, Winfried
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1212-1228
Persistent link: https://www.econbiz.de/10009655698
Saved in:
8
Active portfolio management with benchmarking : adding a value-at-risk constraint
Alexander, Gordon J.
;
Baptista, Alexandre M.
- In:
Journal of economic dynamics & control
32
(
2008
)
3
,
pp. 779-820
Persistent link: https://www.econbiz.de/10003687449
Saved in:
9
Shortfall as a risk measure : properties, optimization and applications
Bertsimas, Dimitris
;
Lauprete, Geoffrey J.
;
Samarov, …
- In:
Journal of economic dynamics & control
28
(
2004
)
7
,
pp. 1353-1381
Persistent link: https://www.econbiz.de/10001880835
Saved in:
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