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~isPartOf:"The journal of risk model validation"
~isPartOf:"Tydskrif vir studies in ekonomie en ekonometrie : SEE"
~subject:"Ausreißer"
~subject:"Credit risk"
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Search: subject_exact:"VaR (Value at Risk)"
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Ausreißer
Credit risk
Risikomaß
68
Risk measure
68
Theorie
24
Theory
24
Risikomanagement
20
Risk management
20
Portfolio selection
18
Portfolio-Management
18
ARCH model
16
ARCH-Modell
16
Statistical distribution
16
Statistische Verteilung
16
Volatility
13
Volatilität
13
Estimation
12
Schätzung
12
Forecasting model
11
Kreditrisiko
11
Prognoseverfahren
11
value-at-risk (VaR)
11
Measurement
10
Messung
10
Estimation theory
9
Risiko
9
Risk
9
Schätztheorie
9
backtesting
9
Outliers
7
Basel Accord
6
Basler Akkord
6
value-at-risk
6
Statistical test
5
Statistischer Test
5
Financial services
4
Finanzdienstleistung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Probability theory
4
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Article
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18
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18
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English
18
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Conradie, W. J.
2
Fischer, Matthias
2
Arnsdorf, Matthias
1
Belkacem, Lotfi
1
Biljon, L. van
1
Cai, Chunlin
1
Chen, Jiun-Lin
1
Choi, Sun-Yong
1
Cui, Kaijie
1
De Wet, Tertius
1
Dicks, A.
1
Du, Zunwei
1
El Ghourabi, Mohamed
1
Fei, Glenn
1
Gammoudi, Imed
1
Gonpot, Preethee Nunkoo
1
Graham, Alasdair
1
Haasbroek, L. J.
1
Han, Chulwoo
1
Ho, Kung-Cheng
1
Huang, C.-K.
1
Kaufmann, Florian
1
Lee, Shih-Cheng
1
Mashalaba, Q.
1
Mertel, Alexander
1
Panman, Kevin
1
Pál, János
1
Reitgruber, Wolfgang
1
Rubtsov, Mark
1
Schutte, W. D.
1
Van Heerden, JD
1
Verster, Tanja
1
Williams, R.
1
Wing, Jean Paul Chung
1
Wu, Biao
1
Yang, Bill Huajian
1
Zelvyte, Mante
1
Ünal, Gözde
1
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The journal of risk model validation
Tydskrif vir studies in ekonomie en ekonometrie : SEE
Journal of banking & finance
32
Insurance / Mathematics & economics
30
Risks : open access journal
22
Journal of risk
19
The journal of credit risk : published quarterly by Incisive Media
19
Discussion paper / Tinbergen Institute
14
Economic modelling
14
Finance research letters
12
Journal of international financial markets, institutions & money
12
Journal of risk management in financial institutions
12
The North American journal of economics and finance : a journal of financial economics studies
12
Applied economics
11
The journal of operational risk
11
International journal of forecasting
10
International review of financial analysis
10
Energy economics
8
European journal of operational research : EJOR
8
International journal of theoretical and applied finance
8
Journal of empirical finance
8
Journal of financial services research : JFSR
8
Discussion paper / Deutsche Bundesbank
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of econometrics
7
School of Accounting, Finance and Economics & FEMARC working paper series
7
The European journal of finance
7
International journal of economics and financial issues : IJEFI
6
Journal of financial econometrics
6
Journal of mathematical finance
6
Research paper series / Swiss Finance Institute
6
SFB 649 discussion paper
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Working papers / TSE : WP
6
Applied economics letters
5
DNB working paper
5
Discussion paper
5
Dresdner Beiträge zu quantitativen Verfahren
5
Journal of financial stability
5
Journal of international money and finance
5
Journal of risk and financial management : JRFM
5
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ECONIS (ZBW)
18
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18
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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
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
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:
5
Aggregational effects in extreme value and generalized hyperbolic models for value-at-risk estimation : evidence from the NYSE, FTSE, KRX and TWSE
Mashalaba, Q.
;
Huang, C.-K.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
44
(
2020
)
1
,
pp. 45-72
Persistent link: https://www.econbiz.de/10012613489
Saved in:
6
Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin
;
Biljon, L. van
;
Haasbroek, L. J.
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
Saved in:
7
Value at Risk and extreme value theory : application to the Johannesburg Securities Exchange
Williams, R.
;
Van Heerden, JD
;
Conradie, W. J.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
42
(
2018
)
1
,
pp. 87-114
Persistent link: https://www.econbiz.de/10011919767
Saved in:
8
Asset correlations and procyclical impact
Ho, Kung-Cheng
;
Chen, Jiun-Lin
;
Lee, Shih-Cheng
- In:
The journal of risk model validation
11
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011671171
Saved in:
9
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
10
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
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