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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Kreditrisiko"
~subject:"Messung"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Kreditrisiko
Messung
Risikomaß
60
Risk measure
60
Theorie
21
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21
Risikomanagement
20
Risk management
20
Portfolio selection
18
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value-at-risk (VaR)
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The journal of risk model validation
Insurance / Mathematics & economics
116
Journal of banking & finance
53
Risks : open access journal
42
Journal of risk
41
European journal of operational research : EJOR
35
International journal of theoretical and applied finance
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of risk management in financial institutions
20
Discussion paper / Tinbergen Institute
19
Mathematics of operations research
19
The journal of operational risk
19
Finance and stochastics
18
Finance research letters
17
Mathematics and financial economics
17
Econometric Institute research papers
16
Quantitative finance
16
Research paper series / Swiss Finance Institute
13
Economic modelling
12
International review of financial analysis
12
Scandinavian actuarial journal
12
Working paper
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Management science : journal of the Institute for Operations Research and the Management Sciences
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Operations research
11
Computational economics
10
Journal of financial services research : JFSR
10
Journal of international financial markets, institutions & money
10
The North American journal of economics and finance : a journal of financial economics studies
10
International review of economics & finance : IREF
9
Journal of financial stability
9
Journal of forecasting
9
Journal of risk and financial management : JRFM
9
The European journal of finance
9
Astin bulletin : the journal of the International Actuarial Association
8
Journal of financial econometrics
8
Mathematical finance : an international journal of mathematics, statistics and financial economics
8
Operations research letters
8
School of Accounting, Finance and Economics & FEMARC working paper series
8
ASTIN bulletin : the journal of the International Actuarial Association
7
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ECONIS (ZBW)
20
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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
Does the asymmetric exponential power distribution improve systemic risk measurement?
Wu, Shu
;
Chen, Huiqiong
;
Li, Helong
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10014485620
Saved in:
4
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:
5
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:
6
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:
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
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:
9
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:
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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