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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Kreditrisiko"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Kreditrisiko
Risikomaß
113
Risk measure
113
Theorie
51
Theory
51
Portfolio selection
41
Portfolio-Management
41
Risikomanagement
38
Risk management
38
Risiko
26
Risk
26
Measurement
24
Messung
24
ARCH model
20
ARCH-Modell
20
Credit risk
18
Statistical distribution
18
Statistische Verteilung
18
Volatility
17
Volatilität
17
Estimation
16
Estimation theory
16
Schätztheorie
16
Schätzung
16
Forecasting model
14
Prognoseverfahren
14
Stochastic process
13
Stochastischer Prozess
13
value-at-risk (VaR)
13
Basler Akkord
12
backtesting
11
Financial services
8
Finanzdienstleistung
8
Option pricing theory
8
Optionspreistheorie
8
Bank risk
7
Bankrisiko
7
value-at-risk
7
Ausreißer
6
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English
25
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Fischer, Matthias
2
Rutkowski, Marek
2
Amini, Hamed
1
Arnsdorf, Matthias
1
Biljon, L. van
1
Bloxham, Nicholas
1
Cai, Chunlin
1
Chen, Jiun-Lin
1
Cont, Rama
1
Cooper, James
1
Cui, Kaijie
1
Doncic, Sanja
1
Du, Zunwei
1
Durand, Cyril
1
Fei, Glenn
1
Gouriéroux, Christian
1
Ha Tran Manh
1
Haasbroek, L. J.
1
Han, Chulwoo
1
Ho, Kung-Cheng
1
Huang, Zhenzhen
1
Jacobs, Michael <Jr.>
1
Jiang, Shuyang
1
Kalyvas, Lampros
1
Kaufmann, Florian
1
Kwok, Yue-Kuen
1
Lakićević, Marija
1
Lee, Shih-Cheng
1
Lütkebohmert-Holtz, Eva
1
Mai Ngoc Tran
1
Matchie, Lydienne
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Mertel, Alexander
1
Minca, Andreea
1
Mitic, Peter
1
Monfort, Alain
1
Novak, Serguei Y.
1
Panman, Kevin
1
Pantic, Nemanja
1
Reitgruber, Wolfgang
1
Rubtsov, Mark
1
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Published in...
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International journal of theoretical and applied finance
The journal of risk model validation
Journal of banking & finance
33
Journal of risk
20
The journal of credit risk : published quarterly by Incisive Media
20
Journal of risk management in financial institutions
18
Risks : open access journal
17
Discussion paper / Tinbergen Institute
16
Econometric Institute research papers
16
The journal of operational risk
15
Insurance / Mathematics & economics
14
Economic modelling
9
Journal of financial stability
9
Working paper
9
Journal of financial services research : JFSR
8
Journal of international financial markets, institutions & money
8
Discussion paper / Deutsche Bundesbank
7
European journal of operational research : EJOR
7
Research paper series / Swiss Finance Institute
7
School of Accounting, Finance and Economics & FEMARC working paper series
7
The North American journal of economics and finance : a journal of financial economics studies
7
Discussion paper
6
International journal of economics and financial issues : IJEFI
6
Brennpunkt Risikomanagement und Regulierung
5
Dresdner Beiträge zu quantitativen Verfahren
5
Finance research letters
5
Journal of economic dynamics & control
5
SpringerLink / Bücher
5
The European journal of finance
5
The journal of structured finance
5
Wiley finance series
5
Working papers
5
Bundesbank Series 2 Discussion Paper
4
CIRRELT
4
Computational economics
4
Finance and stochastics
4
International journal of forecasting
4
International review of financial analysis
4
Journal of financial intermediation
4
Journal of financial regulation and compliance : an international journal
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ECONIS (ZBW)
25
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
7
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:
8
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
9
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
Saved in:
10
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
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