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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Econometric Institute research papers"
~subject:"ARCH model"
~subject:"Basel Accord"
~subject:"Measurement"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH model
Basel Accord
Measurement
Risikomaß
52
Risk measure
52
Theorie
23
Theory
23
Portfolio selection
20
Portfolio-Management
20
Basler Akkord
17
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McAleer, Michael
19
Pérez Amaral, Teodosio
11
Jiménez-Martín, Juan-Ángel
9
Chang, Chia-Lin
7
Allen, David E.
2
Jimenez-Martin, Juan-Angel
2
Maasoumi, Esfandiar
2
Tansuchat, Roengchai
2
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1
Boonen, Tim J.
1
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1
Casarin, Roberto
1
Chan, Felix
1
Da Veiga, Bernardo
1
Feng, Runhuan
1
Floryszczak, A.
1
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1
Hakim, Abdul
1
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1
Lévy Véhel, Jacques
1
Majri, M.
1
Powell, Robert
1
Privault, Nicolas
1
Real, Pedro Corte
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Robert, Christian Yann
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Singh, Abhay Kumar
1
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1
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Astin bulletin : the journal of the International Actuarial Association
Econometric Institute research papers
Insurance / Mathematics & economics
118
Journal of banking & finance
59
Journal of risk
55
Risks : open access journal
42
Finance research letters
35
European journal of operational research : EJOR
33
Economic modelling
30
Energy economics
30
The North American journal of economics and finance : a journal of financial economics studies
29
Journal of empirical finance
27
The journal of risk model validation
26
International review of financial analysis
25
Applied economics
24
International journal of forecasting
23
Journal of risk and financial management : JRFM
23
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21
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21
Discussion paper / Tinbergen Institute
20
International journal of theoretical and applied finance
20
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20
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19
Research paper series / Swiss Finance Institute
19
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17
International review of economics & finance : IREF
17
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17
The journal of operational risk
17
Journal of international financial markets, institutions & money
16
Journal of econometrics
15
Journal of risk management in financial institutions
15
Computational economics
14
Scandinavian actuarial journal
14
The European journal of finance
14
Applied economics letters
13
Journal of financial econometrics
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of mathematical finance
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Research in international business and finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
27
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1
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
2
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
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
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:
5
Risk modelling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009781946
Saved in:
6
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2013
Persistent link: https://www.econbiz.de/10010354388
Saved in:
7
Has the Basel Accord improved risk management during the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
-
Revised: October 2012
Persistent link: https://www.econbiz.de/10010360666
Saved in:
8
Has the Basel accord improved risk management during the global financial crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2012
Persistent link: https://www.econbiz.de/10010360674
Saved in:
9
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
Casarin, Roberto
;
Chang, Chia-Lin
;
Jiménez-Martín, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619354
Saved in:
10
GFC-robust risk management under the Basel accord using extreme value methodologies
Santos, Paulo Araújo
;
Jiménez-Martín, Juan-Ángel
; …
-
2011
Persistent link: https://www.econbiz.de/10009619356
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