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subject:"Credit risk"
subject:"Derivat <Wertpapier>"
~institution:"Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes"
~subject:"Risk measure"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Credit risk
Derivat <Wertpapier>
Risk measure
Measurement
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Messung
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Risikomanagement
2
Risikomaß
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Risk
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Risk management
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Aktienindex
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Risk measures
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Theorie
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VaR Backtesting
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asymptotic exponential distribution
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expected shortfall
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Bücher, Axel
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Klüppelberg, Claudia
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Schmidtke, Philipp
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
Basel Committee on Banking Supervision
6
The Wharton Financial Institutions Center
3
Universität Augsburg / Institut für Volkswirtschaftslehre
3
Gottfried Wilhelm Leibniz Universität Hannover
2
Internationaler Währungsfonds
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Oesterreichische Nationalbank
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Conference on ESRB at 1 <1, 2011, Berlin>
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Deutsche Bundesbank
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Eidgenössische Technische Hochschule Zürich
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Friedrich-Schiller-Universität Jena
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National Bureau of Economic Research
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OECD
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Technische Universität Bergakademie Freiberg / Fakultät für Wirtschaftswissenschaften
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Türkiye Cumhuriyet Merkez Bankası
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012035248
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Using the extremal index for value-at-risk backtesting
Bücher, Axel
;
Posch, Peter N.
;
Schmidtke, Philipp
-
Sonderforschungsbereich Statistical Modelling of …
-
2018
Persistent link: https://www.econbiz.de/10011921089
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