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source:"econis"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Messung"
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Messung
Risikomaß
212
Risk measure
212
Theorie
109
Theory
109
Portfolio selection
90
Portfolio-Management
90
Risiko
64
Risk
64
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62
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Measurement
33
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33
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Brandtner, Mario
3
Breuer, Thomas
2
Kürsten, Wolfgang
2
Mao, Tiantian
2
Armstrong, John
1
Bellini, Fabio
1
Brigo, Damiano
1
Brownlees, Christian
1
Cai, Jun
1
Chabot, Ben
1
Cheung, Ka Chun
1
Coculescu, Delia
1
Cotter, John
1
Csiszár, Imre
1
Delbaen, Freddy
1
Denuit, Michel
1
Devolder, Pierre
1
Dhaene, Jan
1
Dowd, Kevin
1
Ergün, Tolga A.
1
Furman, Edward
1
Ghysels, Eric
1
Girardi, Giulio
1
Grün, Bettina
1
Gómez, Fabio
1
Herrmann, Klaus J.
1
Hofert, Marius
1
Hou, Yanxi
1
Idier, Julien
1
Jia, Huameng
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Junike, Gero
1
Kley, Oliver
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Klüppelberg, Claudia
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Kurz, Christopher J.
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Lamé, Gildas
1
Lebègue, Adrien
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1
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Journal of banking & finance
Scandinavian actuarial journal
Insurance / Mathematics & economics
104
European journal of operational research : EJOR
31
Risks : open access journal
29
Journal of risk
25
Mathematics of operations research
19
Finance and stochastics
17
Mathematics and financial economics
17
Quantitative finance
17
Finance research letters
16
International journal of theoretical and applied finance
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of risk model validation
10
International review of financial analysis
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Operations research
9
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Operations research letters
8
Research paper series / Swiss Finance Institute
8
ASTIN bulletin : the journal of the International Actuarial Association
7
Computational economics
7
International review of economics & finance : IREF
7
Journal of financial econometrics
7
Journal of risk and financial management : JRFM
7
The journal of operational risk
7
Applied economics letters
6
Astin bulletin : the journal of the International Actuarial Association
6
Risk measures for the 21st century
6
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
5
Applied economics
5
Applied mathematical finance
5
Computational management science
5
Journal of forecasting
5
Journal of mathematical finance
5
Economic modelling
4
INFORMS journal on computing : JOC
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of economic dynamics & control
4
Journal of mathematical economics
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ECONIS (ZBW)
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1
Group cohesion under individual regulatory constraints
Coculescu, Delia
;
Delbaen, Freddy
- In:
Scandinavian actuarial journal
2022
(
2022
)
1
,
pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
Saved in:
2
Machine-learning-enhanced systemic risk measure : a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013448776
Saved in:
3
A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun
;
Jia, Huameng
;
Mao, Tiantian
- In:
Scandinavian actuarial journal
2022
(
2022
)
3
,
pp. 189-215
Persistent link: https://www.econbiz.de/10013370495
Saved in:
4
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
Saved in:
5
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
6
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
7
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
8
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:
9
Systematic stress tests on public data
Breuer, Thomas
;
Summer, Martin
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012521044
Saved in:
10
Extending composite loss models using a general framework of advanced computational tools
Grün, Bettina
;
Miljkovic, Tatjana
- In:
Scandinavian actuarial journal
2019
(
2019
)
8
,
pp. 642-660
Persistent link: https://www.econbiz.de/10012194987
Saved in:
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