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~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Prognoseverfahren"
~subject:"Risk"
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Estimation
Prognoseverfahren
Risk
Risikomaß
232
Risk measure
232
Theorie
118
Theory
118
Portfolio selection
111
Portfolio-Management
111
Risiko
72
Risikomanagement
69
Risk management
69
Statistical distribution
41
Statistische Verteilung
41
Measurement
36
Messung
36
Schätzung
35
ARCH model
30
ARCH-Modell
30
Volatility
26
Volatilität
26
Capital income
24
Forecasting model
24
Kapitaleinkommen
24
Credit risk
23
Kreditrisiko
23
Expected shortfall
22
Financial crisis
22
Finanzkrise
22
Systemic risk
21
Basel Accord
19
Basler Akkord
19
Systemrisiko
19
Financial services
17
Finanzdienstleistung
17
Value-at-Risk
17
CAPM
16
Bank risk
15
Bankrisiko
15
Multivariate Verteilung
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Undetermined
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9
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Article
105
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105
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2
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English
105
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Weiß, Gregor
5
Brandtner, Mario
4
Daníelsson, Jón
3
Gerlach, Richard
3
Armstrong, John
2
Breuer, Thomas
2
Brigo, Damiano
2
Chen, Qian
2
Chen, Yi-Hsuan
2
Delage, Erick
2
Escanciano, Juan Carlos
2
Härdle, Wolfgang
2
Kürsten, Wolfgang
2
Li, Jonathan Yu-Meng
2
Marzban, Saeed
2
McNeil, Alexander J.
2
Paterlini, Sandra
2
Peña Sánchez de Rivera, Juan Ignacio
2
Puccetti, Giovanni
2
Rösch, Daniel
2
Wang, Chao
2
Wied, Dominik
2
Ziggel, Daniel
2
Alexander, Carol
1
Alles, Lakshman
1
An, Yunbi
1
Anand, Abhinav
1
Banulescu, Georgiana-Denisa
1
Bellini, Fabio
1
Ben-Horin, Moshe
1
Berens, Tobias
1
Bergk, Kerstin
1
Bonaccolto, Giovanni
1
Bouchard, Bruno
1
Boucher, Christophe
1
Brownlees, Christian
1
Buccioli, Alice
1
Caccioli, Fabio
1
Caporin, Massimiliano
1
Chabot, Ben
1
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Published in...
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Journal of banking & finance
Quantitative finance
Insurance / Mathematics & economics
133
Risks : open access journal
65
European journal of operational research : EJOR
58
Finance research letters
56
International journal of forecasting
48
Journal of risk
47
The North American journal of economics and finance : a journal of financial economics studies
35
Energy economics
34
Journal of forecasting
34
Discussion paper / Tinbergen Institute
33
International review of financial analysis
33
Economic modelling
32
Journal of empirical finance
31
The journal of risk model validation
29
Applied economics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Journal of risk and financial management : JRFM
25
Journal of econometrics
23
Computational economics
22
International review of economics & finance : IREF
22
Finance and stochastics
21
Mathematics of operations research
21
International journal of theoretical and applied finance
20
Working papers
20
Journal of financial econometrics
19
Operations research
19
Scandinavian actuarial journal
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of economic dynamics & control
18
Mathematics and financial economics
18
Pacific-Basin finance journal
18
Research paper series / Swiss Finance Institute
18
The European journal of finance
18
Journal of mathematical finance
17
Research in international business and finance
17
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Applied economics letters
15
Econometric Institute research papers
14
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ECONIS (ZBW)
105
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105
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1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
2
Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.
;
Feng, Y.
;
Fouque, Jean-Pierre
;
Frittelli, Marco
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
Saved in:
3
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
4
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
5
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
6
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
7
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
8
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
9
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
10
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
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