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~isPartOf:"Applied economics"
~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~subject:"Basel Accord"
~subject:"Measurement"
~subject:"Messung"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Basel Accord
Measurement
Messung
Risikomaß
76
Risk measure
76
Theorie
42
Theory
42
Portfolio selection
27
Portfolio-Management
27
Risiko
26
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Afonso, Lourdes B.
1
Alqahtani, Faisal
1
Barbi, Massimiliano
1
Boonen, Tim J.
1
Borges, Maria Rosa
1
Feng, Runhuan
1
Floryszczak, A.
1
Furman, Edward
1
Gubareva, Mariya
1
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1
Jang, Hyun Jin
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Lee, Eun-joo
1
Lee, Seung-Hwan
1
Lévy Véhel, Jacques
1
Majri, M.
1
Pan, Xiao
1
Park, Sumin
1
Privault, Nicolas
1
Real, Pedro Corte
1
Robert, Christian Yann
1
Romagnoli, Silvia
1
Shim, Jeungbo
1
Silva, André Luiz Carvalhal da
1
Su, Jianxi
1
Therond, Pierre-E.
1
Tiwari, Aviral Kumar
1
Trucíos, Carlos
1
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1
Wei, Xiao
1
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Applied economics
Astin bulletin : the journal of the International Actuarial Association
Insurance / Mathematics & economics
111
Journal of banking & finance
38
Journal of risk
36
Risks : open access journal
35
European journal of operational research : EJOR
31
Mathematics of operations research
19
International journal of theoretical and applied finance
18
Finance and stochastics
17
Mathematics and financial economics
17
The journal of operational risk
17
Econometric Institute research papers
15
Finance research letters
15
Quantitative finance
15
The journal of risk model validation
14
Discussion paper / Tinbergen Institute
13
Journal of risk management in financial institutions
13
Research paper series / Swiss Finance Institute
12
Scandinavian actuarial journal
12
International review of financial analysis
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Working paper
11
Operations research
10
Economic modelling
9
Journal of forecasting
9
International review of economics & finance : IREF
8
Journal of financial econometrics
8
Journal of risk and financial management : JRFM
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Operations research letters
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The journal of credit risk : published quarterly by Incisive Media
8
ASTIN bulletin : the journal of the International Actuarial Association
7
Computational economics
7
Journal of financial stability
7
Journal of international financial markets, institutions & money
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Applied economics letters
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ECONIS (ZBW)
14
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1
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
2
Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos
;
Tiwari, Aviral Kumar
;
Alqahtani, Faisal
- In:
Applied economics
52
(
2020
)
24
,
pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
Saved in:
3
A conditional equity risk model for regulatory assessment
Floryszczak, A.
;
Lévy Véhel, Jacques
;
Majri, M.
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
1
,
pp. 217-242
Persistent link: https://www.econbiz.de/10012105450
Saved in:
4
Backtesting Basel III : evaluating the market risk of past crises through the current regulation
Zeuli, Marcelo
;
Silva, André Luiz Carvalhal da
- In:
Applied economics
50
(
2018
)
59
,
pp. 6382-6396
Persistent link: https://www.econbiz.de/10012063432
Saved in:
5
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
Privault, Nicolas
;
Wei, Xiao
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 171-196
Persistent link: https://www.econbiz.de/10011875595
Saved in:
6
Typology for flight-to-quality episodes and downside risk measurement
Gubareva, Mariya
;
Borges, Maria Rosa
- In:
Applied economics
48
(
2016
)
10/12
,
pp. 835-853
Persistent link: https://www.econbiz.de/10011432728
Saved in:
7
Optimal hedge ratio under a subjective re-weighting of the original measure
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
Applied economics
48
(
2016
)
13/15
,
pp. 1271-1280
Persistent link: https://www.econbiz.de/10011433130
Saved in:
8
A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo
;
Lee, Eun-joo
;
Lee, Seung-Hwan
- In:
Applied economics
48
(
2016
)
13/15
,
pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
Saved in:
9
Using weighted distributions to model operational risk
Afonso, Lourdes B.
;
Real, Pedro Corte
- In:
Astin bulletin : the journal of the International …
46
(
2016
)
2
,
pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
Saved in:
10
A form of multivariate pareto distribution with applications to financial risk measurement
Su, Jianxi
;
Furman, Edward
- In:
Astin bulletin : the journal of the International …
47
(
2017
)
1
,
pp. 331-357
Persistent link: https://www.econbiz.de/10011671067
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