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Risikomaß
236
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236
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129
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Munari, Cosimo-Andrea
6
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Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
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Finance and stochastics
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ECONIS (ZBW)
236
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1
An elementary proof of the dual representation of expected shortfall
Herdegen, Martin
;
Munari, Cosimo-Andrea
- In:
Mathematics and financial economics
17
(
2023
)
4
,
pp. 655-662
Persistent link: https://www.econbiz.de/10014448070
Saved in:
2
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Saved in:
3
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
Saved in:
4
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
5
Non-concave portfolio optimization with average value-at-risk
Zhang, Fangyuan
- In:
Mathematics and financial economics
17
(
2023
)
2
,
pp. 203-237
Persistent link: https://www.econbiz.de/10014328920
Saved in:
6
The case for CASE : estimating heterogeneous systemic effects
Du, Zaichao
;
Escanciano, Juan Carlos
;
Zhu, Guangwei
- In:
Journal of banking & finance
157
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014490722
Saved in:
7
Impact of systemic risk regulation on optimal policies and asset prices
Bernard, Carole
;
Cui, Xuecan
- In:
Journal of banking & finance
154
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014491945
Saved in:
8
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
9
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
10
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John
;
Brigo, Damiano
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
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