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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of economic dynamics & control"
~type_genre:"Article in journal"
~type_genre:"Collection of articles of several authors"
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Search: subject_exact:"Value at risk"
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Risikomaß
214
Risk measure
214
Theorie
103
Theory
103
Portfolio selection
97
Portfolio-Management
97
Risikomanagement
58
Risk management
58
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52
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33
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Weiß, Gregor
5
Daníelsson, Jón
4
Pérignon, Christophe
4
Alexander, Gordon J.
3
Bali, Turan G.
3
Baptista, Alexandre M.
3
Brandtner, Mario
3
Dias, Alexandra
3
Fabozzi, Frank J.
3
Li, Duan
3
McNeil, Alexander J.
3
Paterlini, Sandra
3
Rösch, Daniel
3
Uryasev, Stan
3
Zhu, Shushang
3
Acerbi, Carlo
2
Armstrong, John
2
Bernard, Carole
2
Breuer, Thomas
2
Brigo, Damiano
2
Campbell, Rachel
2
Cui, Xueting
2
Dowd, Kevin
2
Escanciano, Juan Carlos
2
Faff, Robert W.
2
Fermanian, Jean-David
2
Gatzert, Nadine
2
Gordy, Michael B.
2
Huisman, Ronald
2
Jacobson, Tor
2
Kellner, Ralf
2
Kim, Young Shin
2
Koedijk, Kees
2
Li, Yuying
2
MacLean, Leonard C.
2
Maillet, Bertrand
2
Munari, Cosimo-Andrea
2
Peña Sánchez de Rivera, Juan Ignacio
2
Poon, Ser-Huang
2
Puccetti, Giovanni
2
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Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
1
Università degli studi di Roma "La Sapienza"
1
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Journal of banking & finance
Journal of economic dynamics & control
Insurance / Mathematics & economics
217
Journal of risk
121
European journal of operational research : EJOR
109
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
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
International journal of theoretical and applied finance
46
The journal of operational risk
46
Journal of forecasting
44
Journal of econometrics
42
Computational economics
38
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
36
Journal of international financial markets, institutions & money
33
Scandinavian actuarial journal
32
Applied economics letters
31
Finance and stochastics
30
Pacific-Basin finance journal
30
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
Journal of mathematical finance
26
Mathematical finance : an international journal of mathematics, statistics and financial theory
25
Mathematics and financial economics
25
Operations research
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ECONIS (ZBW)
214
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1
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10
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214
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1
Dynamic CVaR portfolio construction with attention-powered generative factor learning
Sun, Chuting
;
Wu, Qi
;
Yan, Xing
- In:
Journal of economic dynamics & control
160
(
2024
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014532506
Saved in:
2
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:
3
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:
4
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:
5
Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Iacopini, Matteo
;
Poon, Aubrey
;
Rossini, Luca
;
Zhu, Dan
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014495378
Saved in:
6
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:
7
Numerical solution of dynamic quantile models
Castro, Luciano I. de
;
Galvão Júnior, Antônio Fialho
; …
- In:
Journal of economic dynamics & control
148
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014240037
Saved in:
8
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:
9
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
Saved in:
10
A new approach to credit ratings
Pertaia, Giorgi
;
Prokhorov, Artem
;
Uryasev, Stan
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013463125
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