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~isPartOf:"Journal of banking & finance"
~subject:"ARCH-Modell"
~subject:"Bankrisiko"
~subject:"Risk"
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ARCH-Modell
Bankrisiko
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Risikomaß
181
Risk measure
181
Theorie
83
Theory
83
Portfolio selection
77
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77
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52
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Brandtner, Mario
3
Daníelsson, Jón
3
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2
Bali, Turan G.
2
Breuer, Thomas
2
Brigo, Damiano
2
Kim, Young Shin
2
Paterlini, Sandra
2
Peña Sánchez de Rivera, Juan Ignacio
2
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Rösch, Daniel
2
Weiß, Gregor
2
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1
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1
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1
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1
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1
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1
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Journal of banking & finance
Insurance / Mathematics & economics
131
European journal of operational research : EJOR
57
Risks : open access journal
57
Finance research letters
55
Journal of risk
52
Energy economics
45
Economic modelling
43
The North American journal of economics and finance : a journal of financial economics studies
41
International review of financial analysis
37
Journal of empirical finance
37
Applied economics
34
Quantitative finance
34
International journal of forecasting
27
Journal of risk and financial management : JRFM
27
Discussion paper / Tinbergen Institute
23
The journal of risk model validation
23
International review of economics & finance : IREF
22
Mathematics of operations research
22
Pacific-Basin finance journal
22
Research paper series / Swiss Finance Institute
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Finance and stochastics
20
Journal of forecasting
20
Research in international business and finance
20
The journal of operational risk
20
International journal of theoretical and applied finance
19
Journal of risk management in financial institutions
19
Scandinavian actuarial journal
19
The European journal of finance
19
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18
Journal of econometrics
18
Journal of international financial markets, institutions & money
18
Operations research
18
Journal of mathematical finance
17
Mathematics and financial economics
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Applied economics letters
14
Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
72
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1
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:
2
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:
3
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:
4
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio
;
Tang, Qihe
;
Tong, Zhiwei
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Saved in:
5
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
6
Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver
;
Klüppelberg, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
117
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012495775
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7
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
8
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
9
Measuring banks' liquidity risk : an option-pricing approach
Zhang, Jinqing
;
He, Liang
;
An, Yunbi
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012221063
Saved in:
10
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
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