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~isPartOf:"Journal of banking & finance"
~subject:"Basel Accord"
~subject:"Prognoseverfahren"
~type:"article"
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Search: subject_exact:"Value at risk"
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Basel Accord
Prognoseverfahren
Risikomaß
180
Risk measure
180
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
Risikomanagement
52
Risk management
52
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45
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45
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Forecasting model
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Weiß, Gregor
3
McNeil, Alexander J.
2
Paterlini, Sandra
2
Wied, Dominik
2
Ziggel, Daniel
2
Banulescu, Georgiana-Denisa
1
Berens, Tobias
1
Brechmann, Eike
1
Carey, Mark S.
1
Chernobai, Anna
1
Czado, Claudia
1
Daníelsson, Jón
1
DeStefano, Michael
1
Dumitrescu, Elena-Ivona
1
Düllmann, Klaus
1
Farmer, J. Doyne
1
Fethı, Meryem Duygun
1
Gagnon, Marie-Hélène
1
Gatzert, Nadine
1
Geanakoplos, John
1
Gordy, Michael B.
1
Griep, Clifford
1
Hrycay, Mark
1
Hua, Jian
1
Jacobson, Tor
1
Jarrow, Robert A.
1
Jobst, Andreas A.
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Kaplanski, Guy
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Kiesel, Rüdiger
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Klüppelberg, Claudia
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Laurent, Jean-Paul
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Levy, Haim
1
León Valle, Ángel Manuel
1
Li, Yi
1
Lindé, Jesper
1
Lok, Yen H.
1
Lönnbark, Carl
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Journal of banking & finance
International journal of forecasting
50
Journal of forecasting
33
Finance research letters
32
Journal of risk
21
Risks : open access journal
20
The journal of risk model validation
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International review of financial analysis
16
Journal of empirical finance
16
Journal of risk management in financial institutions
16
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of financial econometrics
13
The journal of operational risk
13
Economic modelling
12
Energy economics
12
Computational economics
11
Quantitative finance
11
Applied economics
10
Insurance / Mathematics & economics
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Journal of economic dynamics & control
9
Journal of risk and financial management : JRFM
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The European journal of finance
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European journal of operational research : EJOR
8
International review of economics & finance : IREF
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Journal of econometrics
8
Applied economics letters
7
Journal of financial stability
7
Journal of international financial markets, institutions & money
7
The journal of credit risk : published quarterly by Incisive Media
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Brennpunkt Risikomanagement und Regulierung
4
International journal of theoretical and applied finance
4
Journal / The Capco Institute : journal of financial transformation
4
Journal of applied econometrics
4
Journal of commodity markets
4
Journal of financial regulation and compliance : an international journal
4
Journal of risk finance : the convergence of financial products and insurance
4
Marktrisikoregulierung im Umbruch
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ECONIS (ZBW)
30
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1
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:
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
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
Saved in:
4
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
5
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
6
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:
7
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
8
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
9
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
10
Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger
;
Rahe, Florentin
- In:
Journal of banking & finance
76
(
2017
),
pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
Saved in:
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