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~isPartOf:"Journal of banking & finance"
~subject:"Expected shortfall"
~subject:"Prognoseverfahren"
~subject:"Systemic risk"
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Expected shortfall
Prognoseverfahren
Systemic risk
Risikomaß
181
Risk measure
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77
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Weiß, Gregor
4
McNeil, Alexander J.
2
Wied, Dominik
2
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Journal of banking & finance
International journal of forecasting
47
Finance research letters
38
Journal of forecasting
33
International review of financial analysis
27
Discussion paper / Tinbergen Institute
25
The North American journal of economics and finance : a journal of financial economics studies
21
Risks : open access journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Economic modelling
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Energy economics
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Journal of empirical finance
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Quantitative finance
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Applied economics letters
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Computational economics
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Insurance / Mathematics & economics
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Pacific-Basin finance journal
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The journal of risk model validation
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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European journal of operational research : EJOR
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Journal of econometrics
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Journal of risk and financial management : JRFM
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Research in international business and finance
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SFB 649 discussion paper
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Econometric Institute research papers
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Journal of financial econometrics
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The European journal of finance
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Applied economics
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Journal of financial stability
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Journal of international financial markets, institutions & money
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Journal of risk management in financial institutions
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CFS working paper series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Working paper
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Working papers
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Risk management : a journal of risk, crisis and disaster
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Research paper series / Swiss Finance Institute
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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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 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:
3
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:
4
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:
5
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
Saved in:
6
Machine-learning-enhanced systemic risk measure : a two-step supervised learning approach
Liu, Ruicheng
;
Pun, Chi Seng
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013448776
Saved in:
7
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:
8
Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao
;
Chen Zhou
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
Saved in:
9
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:
10
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
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