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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of risk model validation"
~subject:"Estimation theory"
~subject:"Kreditrisiko"
~subject:"Risk"
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Estimation theory
Kreditrisiko
Risk
Risikomaß
85
Risk measure
85
Theorie
43
Theory
43
Portfolio selection
29
Portfolio-Management
29
Risiko
23
Risikomanagement
23
Risk management
23
Measurement
20
Messung
20
ARCH model
15
ARCH-Modell
15
Statistical distribution
15
Statistische Verteilung
15
Volatility
13
Volatilität
13
value-at-risk (VaR)
13
Forecasting model
12
Prognoseverfahren
12
Credit risk
11
Estimation
11
Schätzung
11
Schätztheorie
9
backtesting
9
Basel Accord
7
Basler Akkord
7
value-at-risk
7
Statistical test
5
Statistischer Test
5
Stochastic process
5
Stochastischer Prozess
5
Ausreißer
4
Correlation
4
Financial services
4
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4
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4
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Article
38
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38
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English
38
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Fischer, Matthias
2
Arai, Takuji
1
Arhus, Gisle Hoel
1
Arnsdorf, Matthias
1
Biljon, L. van
1
Buczy´nski, Mateusz
1
Cai, Chunlin
1
Calderín-Ojeda, Enrique
1
Cambou, Mathieu
1
Cascos, Ignacio
1
Cerreia-Vioglio, Simone
1
Chen, Jiun-Lin
1
Chlebus, Marcin
1
Cong, Chang
1
Cui, Kaijie
1
Curcic, Nikola
1
Denis, Laurent
1
Du, Zunwei
1
Fałdziński, Marcin
1
Fei, Glenn
1
Fernández, Begoña
1
Filipović, Damir
1
Frittelli, Marco
1
Frydenberg, Marina
1
Frydenberg, Stein
1
Fukasawa, Masaaki
1
Georgiopoulos, Nick
1
Glasserman, Paul
1
Grechuk, Bogdan
1
Haasbroek, L. J.
1
Han, Chulwoo
1
Ho, Kung-Cheng
1
Hong, Jimmy
1
Jadhav, Deepak
1
Jiang, Shuyang
1
Kaufmann, Florian
1
Knight, John L.
1
Kontaxis, Grigorios
1
Law, Keith K. F.
1
Lee, Shih-Cheng
1
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Published in...
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of risk model validation
Insurance / Mathematics & economics
140
Journal of banking & finance
70
European journal of operational research : EJOR
62
Risks : open access journal
61
Journal of risk
52
Finance research letters
44
Quantitative finance
32
Discussion paper / Tinbergen Institute
26
Economic modelling
25
International journal of theoretical and applied finance
24
International review of financial analysis
23
Mathematics of operations research
22
The North American journal of economics and finance : a journal of financial economics studies
22
Energy economics
21
Finance and stochastics
21
Journal of risk management in financial institutions
21
Journal of econometrics
20
Scandinavian actuarial journal
20
The journal of credit risk : published quarterly by Incisive Media
20
Operations research
19
Computational economics
18
Journal of risk and financial management : JRFM
18
Applied economics
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Journal of mathematical finance
17
Mathematics and financial economics
17
Research paper series / Swiss Finance Institute
17
International review of economics & finance : IREF
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
International journal of forecasting
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
The European journal of finance
15
Journal of empirical finance
14
Journal of international financial markets, institutions & money
14
Journal of financial econometrics
13
Pacific-Basin finance journal
13
Astin bulletin : the journal of the International Actuarial Association
12
Dresdner Beiträge zu quantitativen Verfahren
12
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ECONIS (ZBW)
38
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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
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:
3
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:
4
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
5
Nonconvex noncash risk measures
Cong, Chang
;
Zhao, Peibiao
- In:
The journal of risk model validation
15
(
2021
)
2
,
pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
Saved in:
6
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:
7
Old-fashioned parametric models are still the best : a comparison of
value-at-risk
approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
8
An empirical evaluation of large dynamic covariance models in portfolio
value-at-risk
estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
9
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:
10
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
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