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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Kreditrisiko"
~subject:"Risikomanagement"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Kreditrisiko
Risikomanagement
Risikomaß
60
Risk measure
60
Theorie
21
Theory
21
Risk management
20
Portfolio selection
18
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18
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15
ARCH-Modell
15
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13
Statistische Verteilung
13
Credit risk
11
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value-at-risk (VaR)
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Estimation theory
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Risiko
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backtesting
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Basler Akkord
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value-at-risk
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Bloxham, Nicholas
2
Fischer, Matthias
2
Mitic, Peter
2
Abad, Pilar
1
Arnsdorf, Matthias
1
Bee, Marco
1
Benito Muela, Sonia
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Ha Tran Manh
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The journal of risk model validation
Insurance / Mathematics & economics
100
Journal of banking & finance
77
Risks : open access journal
60
Journal of risk
47
European journal of operational research : EJOR
43
Journal of risk management in financial institutions
32
Economic modelling
31
The journal of operational risk
31
Finance research letters
28
The North American journal of economics and finance : a journal of financial economics studies
27
Energy economics
25
Discussion paper / Tinbergen Institute
23
The journal of credit risk : published quarterly by Incisive Media
21
International review of financial analysis
19
International journal of theoretical and applied finance
18
Quantitative finance
18
Econometric Institute research papers
16
International review of economics & finance : IREF
16
Journal of international financial markets, institutions & money
15
Research paper series / Swiss Finance Institute
15
SpringerLink / Bücher
15
Working papers
15
Applied economics
14
Computational economics
14
International journal of forecasting
14
Journal of risk and financial management : JRFM
14
The European journal of finance
14
Finance and stochastics
13
Journal of econometrics
13
Journal of empirical finance
12
International journal of risk assessment and management : IJRAM
11
Journal of financial stability
11
Applied economics letters
10
Journal of mathematical finance
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Research in international business and finance
10
Review of financial economics : RFE
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Working paper
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ECONIS (ZBW)
29
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29
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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
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:
4
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:
5
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:
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
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:
8
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:
9
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:
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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