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source:"econis"
~isPartOf:"Quantitative finance"
~subject:"Credit risk"
~subject:"Statistische Verteilung"
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Credit risk
Statistische Verteilung
Risikomaß
51
Risk measure
51
Theorie
35
Theory
35
Portfolio selection
34
Portfolio-Management
34
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27
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27
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Quantitative finance
Insurance / Mathematics & economics
79
Journal of banking & finance
50
Risks : open access journal
33
Discussion paper / Tinbergen Institute
28
Journal of risk
27
International journal of forecasting
25
The journal of risk model validation
21
Economic modelling
20
The journal of credit risk : published quarterly by Incisive Media
20
The journal of operational risk
20
Finance research letters
18
Journal of risk management in financial institutions
17
European journal of operational research : EJOR
16
Journal of econometrics
16
Journal of empirical finance
16
Applied economics
15
International review of financial analysis
15
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of financial econometrics
13
The European journal of finance
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International journal of theoretical and applied finance
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Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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Scandinavian actuarial journal
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International review of economics & finance : IREF
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of forecasting
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Swiss Finance Institute Research Paper
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Working papers
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Astin bulletin : the journal of the International Actuarial Association
9
Energy economics
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial services research : JFSR
8
Management science : journal of the Institute for Operations Research and the Management Sciences
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Pacific-Basin finance journal
8
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ECONIS (ZBW)
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1
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
2
Persistence of jump-induced tail risk and limits to arbitrage
Chow, K. Victor
;
John, Kose
;
Li, Jingrui
;
Sopranzetti, …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 705-719
Persistent link: https://www.econbiz.de/10014304321
Saved in:
3
Distributionally robust portfolio optimization with linearized STARR performance measure
Ji, Ran
;
Lejeune, Miguel A.
;
Fan, Zhengyang
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 113-127
Persistent link: https://www.econbiz.de/10012872526
Saved in:
4
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
5
Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Birge, John R.
;
Chávez-Bedoya, Luis
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 199-219
Persistent link: https://www.econbiz.de/10012424559
Saved in:
6
Tail risks in large portfolio selection : penalized quantile and expectile minimum deviation models
Giacometti, Rosella
;
Torri, Gabriele
;
Paterlini, Sandra
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 243-261
Persistent link: https://www.econbiz.de/10012424587
Saved in:
7
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
Bee, Marco
;
Hambuckers, J.
;
Trapin, L.
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1207-1221
Persistent link: https://www.econbiz.de/10012588037
Saved in:
8
TERES : tail event risk expectile shortfall
Mihoci, Andrija
;
Härdle, Wolfgang
;
Chen, Yi-Hsuan
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 449-460
Persistent link: https://www.econbiz.de/10012483833
Saved in:
9
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
10
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
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