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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Kreditrisiko"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Kreditrisiko
Risikomaß
101
Risk measure
101
Theorie
44
Theory
44
Portfolio selection
39
Portfolio-Management
39
Risikomanagement
29
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21
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value-at-risk (VaR)
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backtesting
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Bankrisiko
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Capital income
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22
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Fischer, Matthias
2
Arnsdorf, Matthias
1
Biljon, L. van
1
Bloxham, Nicholas
1
Cai, Chunlin
1
Chen, Jiun-Lin
1
Cherubini, Umberto
1
Cooper, James
1
Cui, Kaijie
1
Doncic, Sanja
1
Du, Zunwei
1
Fei, Glenn
1
Ha Tran Manh
1
Haasbroek, L. J.
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Han, Chulwoo
1
Ho, Kung-Cheng
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1
Jiang, Shuyang
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Kaufmann, Florian
1
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1
Lakićević, Marija
1
Lee, Shih-Cheng
1
Lee, Yong Woong
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Mai Ngoc Tran
1
Matyska, Branka
1
Mertel, Alexander
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Mitic, Peter
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Panman, Kevin
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Pantic, Nemanja
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Schutte, W. D.
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Tarrant, Wayne
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Verster, Tanja
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Wang, Hu
1
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Journal of economic dynamics & control
The journal of risk model validation
Journal of banking & finance
33
Journal of risk
20
The journal of credit risk : published quarterly by Incisive Media
20
Journal of risk management in financial institutions
18
Risks : open access journal
17
Discussion paper / Tinbergen Institute
16
Econometric Institute research papers
16
The journal of operational risk
15
Insurance / Mathematics & economics
14
Economic modelling
9
Journal of financial stability
9
Working paper
9
International journal of theoretical and applied finance
8
Journal of financial services research : JFSR
8
Journal of international financial markets, institutions & money
8
Discussion paper / Deutsche Bundesbank
7
European journal of operational research : EJOR
7
Research paper series / Swiss Finance Institute
7
School of Accounting, Finance and Economics & FEMARC working paper series
7
The North American journal of economics and finance : a journal of financial economics studies
7
Discussion paper
6
International journal of economics and financial issues : IJEFI
6
Brennpunkt Risikomanagement und Regulierung
5
Dresdner Beiträge zu quantitativen Verfahren
5
Finance research letters
5
SpringerLink / Bücher
5
The European journal of finance
5
The journal of structured finance
5
Wiley finance series
5
Working papers
5
Bundesbank Series 2 Discussion Paper
4
CIRRELT
4
Computational economics
4
Finance and stochastics
4
International journal of forecasting
4
International review of financial analysis
4
Journal of financial intermediation
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Journal of financial regulation and compliance : an international journal
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ECONIS (ZBW)
22
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22
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1
Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
Saved in:
2
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
3
Bayesian backtesting for counterparty risk models
Zelvyte, Mante
;
Arnsdorf, Matthias
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014485763
Saved in:
4
The validation of different systemic risk measurement models
Wang, Hu
;
Jiang, Shuyang
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 83-97
Persistent link: https://www.econbiz.de/10014485771
Saved in:
5
Expected shortfall model based on a neural network
Doncic, Sanja
;
Pantic, Nemanja
;
Lakićević, Marija
- In:
The journal of risk model validation
16
(
2022
)
2
,
pp. 63-83
Persistent link: https://www.econbiz.de/10014540573
Saved in:
6
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
7
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
8
Salience, systemic risk and spectral risk measures as capital requirements
Matyska, Branka
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012666998
Saved in:
9
Estimating redenomination risk under Gumbel–Hougaard survival copulas
Cherubini, Umberto
- In:
Journal of economic dynamics & control
133
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014535826
Saved in:
10
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian
;
Wu, Biao
;
Cui, Kaijie
;
Du, Zunwei
; …
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
Saved in:
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