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subject:"Risikomaß"
type_genre:"Working Paper"
~institution:"Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes"
~subject:"Estimation"
~subject:"Financial crisis"
~subject:"financial network"
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Risikomaß
Estimation
Financial crisis
financial network
Measurement
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Messung
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Risiko
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Risk
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Risk management
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Risk measure
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Aktienindex
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Extremal Index
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asymptotic exponential distribution
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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
International Center for Financial Asset Management and Engineering
2
National Bureau of Economic Research
2
Center for Economic Research <Tilburg>
1
Centre for Analytical Finance <Århus>
1
Institute of Finance and Accounting <London>
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Trinity College Dublin / Department of Economics
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Volkswirtschaftliches Forschungszentrum <Frankfurt, Main>
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
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ECONIS (ZBW)
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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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2
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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