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~isPartOf:"Computational economics"
~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Risk management"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Risk management
Risikomaß
107
Risk measure
107
Theorie
45
Theory
45
Portfolio selection
38
Portfolio-Management
38
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33
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26
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value-at-risk (VaR)
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backtesting
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Computational economics
The journal of risk model validation
Insurance / Mathematics & economics
97
Journal of banking & finance
66
Risks : open access journal
57
Journal of risk
45
European journal of operational research : EJOR
41
Finance research letters
32
The journal of operational risk
31
Economic modelling
28
Energy economics
27
Journal of risk management in financial institutions
27
The North American journal of economics and finance : a journal of financial economics studies
24
International review of financial analysis
21
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International journal of theoretical and applied finance
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International journal of forecasting
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Journal of risk and financial management : JRFM
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The journal of credit risk : published quarterly by Incisive Media
14
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
The European journal of finance
13
Finance and stochastics
12
Journal of empirical finance
12
International journal of risk assessment and management : IJRAM
11
Journal of financial stability
10
Research in international business and finance
10
Review of financial economics : RFE
10
SpringerLink / Bücher
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International journal of finance & economics : IJFE
9
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ECONIS (ZBW)
39
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
3
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
4
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
5
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
6
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
7
Deviation-based model risk measures
Berkhouch, Mohammed
;
Müller, Fernanda Maria
;
Lakhnati, …
- In:
Computational economics
59
(
2022
)
2
,
pp. 527-547
Persistent link: https://www.econbiz.de/10013169017
Saved in:
8
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
Saved in:
9
Expected shortfall model based on a neural network
Doncic, Sanja
;
Pantic, Nemanja
;
Lakićević, Marija
- In:
The journal of risk model validation
16
(
2022
)
2
,
pp. 63-83
Persistent link: https://www.econbiz.de/10014540573
Saved in:
10
Quantifying model selection risk in macroeconomic sensitivity models
Breeden, Joseph L.
;
Dobrinov, Nikolay
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 55-71
Persistent link: https://www.econbiz.de/10014540599
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