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~isPartOf:"The journal of credit risk : published quarterly by Incisive Media"
~isPartOf:"The journal of risk model validation"
~subject:"Basler Akkord"
~subject:"Schätzung"
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Search: subject_exact:"VaR (Value at Risk)"
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Basler Akkord
Schätzung
Risikomaß
85
Risk measure
85
Theorie
42
Theory
42
Credit risk
30
Kreditrisiko
30
Portfolio selection
30
Portfolio-Management
30
Risikomanagement
29
Risk management
29
Statistical distribution
17
Statistische Verteilung
17
ARCH model
15
ARCH-Modell
15
Basel Accord
13
Risiko
13
Risk
13
value-at-risk (VaR)
12
Estimation
11
Forecasting model
11
Measurement
11
Messung
11
Prognoseverfahren
11
Volatility
11
Volatilität
11
Estimation theory
9
Schätztheorie
9
backtesting
9
Bank lending
8
Kreditgeschäft
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Financial services
7
Finanzdienstleistung
7
Loss
7
Verlust
7
value-at-risk
7
Probability theory
6
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23
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English
23
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Löderbusch, Matthias
2
Maciag, Jakob
2
Arhus, Gisle Hoel
1
Batiz-Zuk, Enrique
1
Bloxham, Nicholas
1
Buczy´nski, Mateusz
1
Ceretta, Sergio Paulo
1
Chen, Jiun-Lin
1
Chlebus, Marcin
1
Choi, Sun-Yong
1
Christodoulakis, George A.
1
Cooper, James
1
Curcic, Nikola
1
Eleftherios, Vlachostergios
1
Frydenberg, Marina
1
Frydenberg, Stein
1
Ha Tran Manh
1
Ho, Kung-Cheng
1
Huang, Chun-Kai
1
Huang, Haohan
1
Huang, Huaxiong
1
Jadhav, Deepak
1
Jiang, Shuyang
1
Kaposty, Florian
1
Law, Keith K. F.
1
Lee, Shih-Cheng
1
Li, Wai Keung
1
Mai Ngoc Tran
1
Miletic, Vuk
1
Milojkovic, Dragana
1
Mitic, Peter
1
Oteng-Amoako, Kingsley
1
Poon, Ser-Huang
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Porto, Rogério F.
1
Radivojevic, Nikola
1
Ramanathan, T. V.
1
Reitgruber, Wolfgang
1
Righi, Marcelo Brutti
1
Rubtsov, Mark
1
Siarka, Pawel
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The journal of credit risk : published quarterly by Incisive Media
The journal of risk model validation
Journal of banking & finance
41
Journal of risk
33
Finance research letters
22
The North American journal of economics and finance : a journal of financial economics studies
22
Discussion paper / Tinbergen Institute
20
Econometric Institute research papers
20
Economic modelling
20
Risks : open access journal
20
Applied economics
19
Insurance / Mathematics & economics
19
International review of financial analysis
18
Journal of econometrics
17
Energy economics
16
International journal of forecasting
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Working paper
14
Journal of empirical finance
13
Working papers
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of risk management in financial institutions
12
The journal of operational risk
12
International review of economics & finance : IREF
11
Journal of international financial markets, institutions & money
11
Quantitative finance
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Research in international business and finance
10
CFS working paper series
9
Journal of financial econometrics
9
Research paper series / Swiss Finance Institute
9
Journal of economic dynamics & control
8
Pacific-Basin finance journal
8
SpringerLink / Bücher
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Economics letters
7
International journal of theoretical and applied finance
7
Journal of financial stability
7
Discussion paper
6
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ECONIS (ZBW)
23
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23
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1
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:
2
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:
3
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:
4
Incremental value-at-risk
Mitic, Peter
;
Cooper, James
;
Bloxham, Nicholas
- In:
The journal of risk model validation
14
(
2020
)
1
,
pp. 65-101
Persistent link: https://www.econbiz.de/10014335925
Saved in:
5
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:
6
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:
7
The utility of Basel III rules on excessive violations of internal risk models
Tarrant, Wayne
- In:
The journal of risk model validation
13
(
2019
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10012020267
Saved in:
8
Basel risk weight functions and forward-looking expected credit losses
Eleftherios, Vlachostergios
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
4
,
pp. 29-42
Persistent link: https://www.econbiz.de/10012153043
Saved in:
9
A study on window-size selection for threshold and bootstrap value-at-risk models
Smith, Anri
;
Huang, Chun-Kai
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012373140
Saved in:
10
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
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