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isPartOf:"Review of financial economics : RFE"
subject:"Risk measure"
~isPartOf:"Computational economics"
~isPartOf:"Economic modelling"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Monte-Carlo-Simulation"
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Risk measure
Monte-Carlo-Simulation
Risk management
317
Risikomanagement
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155
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Mao, Tiantian
6
Cossette, Hélène
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Hu, Taizhong
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Tan, Ken Seng
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Cai, Jun
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Cheung, Ka Chun
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Review of financial economics : RFE
Computational economics
Economic modelling
Insurance / Mathematics & economics
Risks : open access journal
58
Journal of banking & finance
53
Journal of risk
41
European journal of operational research : EJOR
40
Finance research letters
31
The journal of operational risk
30
Energy economics
27
Journal of risk management in financial institutions
23
The North American journal of economics and finance : a journal of financial economics studies
23
The journal of risk model validation
23
International review of financial analysis
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Quantitative finance
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International journal of theoretical and applied finance
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International review of economics & finance : IREF
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Journal of risk and financial management : JRFM
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Discussion paper / Tinbergen Institute
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Research paper series / Swiss Finance Institute
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Finance and stochastics
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SpringerLink / Bücher
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International journal of forecasting
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The European journal of finance
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International journal of production research
10
International journal of risk assessment and management : IJRAM
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Journal of international financial markets, institutions & money
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Research in international business and finance
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Scandinavian actuarial journal
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The journal of credit risk : published quarterly by Incisive Media
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International journal of finance & economics : IJFE
9
Journal of mathematical finance
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Pacific-Basin finance journal
9
Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
3
Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao
;
Zou, Zhenfeng
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
Saved in:
4
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:
5
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:
6
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:
7
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
Saved in:
8
Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market
Bei, Shuhua
;
Yang, Aijun
;
Pei, Haotian
;
Si, Xiaoli
- In:
Economic modelling
125
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014463673
Saved in:
9
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
10
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
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