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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of mathematical finance"
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Search: subject_exact:"Value at risk"
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Risikomaß
72
Risk measure
72
Theorie
41
Theory
41
Portfolio selection
32
Portfolio-Management
32
Risiko
28
Risk
28
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24
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Omari, Cyprian Ondieki
3
Račev, Svetlozar T.
3
Chen, Yanhong
2
D'Addona, Stefano
2
Fabozzi, Frank J.
2
Hu, Yijun
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Kato, Takashi
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International journal of theoretical and applied finance
Journal of mathematical finance
Insurance / Mathematics & economics
217
Journal of banking & finance
180
Journal of risk
121
European journal of operational research : EJOR
110
Risks : open access journal
106
Finance research letters
94
International review of financial analysis
72
Economic modelling
70
Energy economics
70
The North American journal of economics and finance : a journal of financial economics studies
68
The journal of risk model validation
60
International journal of forecasting
56
Journal of empirical finance
54
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
The journal of operational risk
46
Journal of forecasting
44
Journal of econometrics
42
Computational economics
39
The European journal of finance
37
International review of economics & finance : IREF
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
35
Journal of economic dynamics & control
33
Journal of international financial markets, institutions & money
33
Scandinavian actuarial journal
32
Applied economics letters
31
Finance and stochastics
30
Pacific-Basin finance journal
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Management science : journal of the Institute for Operations Research and the Management Sciences
29
Operations research letters
28
Journal of financial econometrics
27
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Insurance: Mathematics and Economics
25
Journal of Risk and Financial Management
25
Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
72
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Dynamic mean-variance portfolios with risk budget
Luo, Sheng-Feng
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270888
Saved in:
3
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
4
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
5
An ergodic BSDE risk representation in a jump-diffusion framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
6
Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
Saved in:
7
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
8
A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
Saved in:
9
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
10
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
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