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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Estimation theory"
~subject:"Estimation"
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Basel Accord
Estimation theory
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60
Risk measure
60
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21
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21
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20
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20
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Arhus, Gisle Hoel
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The journal of risk model validation
Journal of banking & finance
45
Journal of risk
45
Insurance / Mathematics & economics
36
Finance research letters
27
Discussion paper / Tinbergen Institute
26
Journal of econometrics
26
The North American journal of economics and finance : a journal of financial economics studies
24
Risks : open access journal
23
Economic modelling
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Applied economics
20
Econometric Institute research papers
20
International review of financial analysis
19
International journal of forecasting
18
Energy economics
16
Working papers
16
Quantitative finance
15
The journal of operational risk
15
Journal of empirical finance
14
Journal of forecasting
14
Journal of risk management in financial institutions
14
Working paper
14
Journal of financial econometrics
13
Journal of risk and financial management : JRFM
13
Journal of international financial markets, institutions & money
12
Research in international business and finance
12
SFB 649 discussion paper
12
Computational economics
11
International journal of theoretical and applied finance
11
International review of economics & finance : IREF
11
European journal of operational research : EJOR
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
CFS working paper series
9
Journal of economic dynamics & control
9
Research paper series / Swiss Finance Institute
9
Finance and economics discussion series
8
Journal of mathematical finance
8
Pacific-Basin finance journal
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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 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
Saved in:
8
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:
9
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:
10
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:
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