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person:"Kürsten, Wolfgang"
~person:"Müller, Fernanda Maria"
~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Conditional value at risk"
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19
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19
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17
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16
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14
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14
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14
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14
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Range Value at Risk (RVaR)
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Kürsten, Wolfgang
Müller, Fernanda Maria
Wang, Ruodu
24
Righi, Marcelo Brutti
15
Rosazza Gianin, Emanuela
14
Rüschendorf, Ludger
12
Boonen, Tim J.
11
Brandtner, Mario
11
Cheung, Ka Chun
11
Embrechts, Paul
10
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10
Furman, Edward
10
Tan, Ken Seng
10
Landsman, Zinoviy
9
Mao, Tiantian
9
Rudloff, Birgit
9
Daníelsson, Jón
8
Gerlach, Richard
8
Härdle, Wolfgang
8
Munari, Cosimo-Andrea
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
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8
Asimit, Alexandru V.
7
Bernard, Carole
7
Cai, Jun
7
Chen, Zhiping
7
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7
Jarrow, Robert A.
7
Pichler, Alois
7
Su, Jianxi
7
Tang, Qihe
7
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6
Dhaene, Jan
6
Dowd, Kevin
6
Guillén, Montserrat
6
Herrera, Rodrigo
6
Hu, Taizhong
6
Kim, Young Shin
6
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European journal of operational research : EJOR
3
Computational economics
2
Insurance / Mathematics & economics
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Das Wirtschaftsstudium : wisu ; Zeitschrift für Ausbildung, Prüfung, Berufseinstieg und Fortbildung
1
International review of economics & finance : IREF
1
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1
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1
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1
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ECONIS (ZBW)
17
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
3
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
4
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:
5
Risk measures-based cluster methods for finance
Guedes, Pablo Cristini
;
Müller, Fernanda Maria
;
Righi, …
- In:
Risk management : an international journal
25
(
2023
)
1
,
pp. 1-56
Persistent link: https://www.econbiz.de/10013490814
Saved in:
6
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
Saved in:
7
Risk measure index tracking model
Sant'Anna, Leonardo Riegel
;
Righi, Marcelo Brutti
; …
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 361-383
Persistent link: https://www.econbiz.de/10013342032
Saved in:
8
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
9
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
10
On a robust risk measurement approach for capital determination errors minimization
Righi, Marcelo Brutti
;
Müller, Fernanda Maria
; …
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 199-211
Persistent link: https://www.econbiz.de/10012420135
Saved in:
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