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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Risk management"
~subject:"Volatility"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Risk management
Volatility
Risikomaß
60
Risk measure
60
Theorie
21
Theory
21
Risikomanagement
20
Portfolio selection
18
Portfolio-Management
18
ARCH model
15
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15
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13
Statistische Verteilung
13
Credit risk
11
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11
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11
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Prognoseverfahren
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value-at-risk (VaR)
11
Measurement
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Messung
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Estimation theory
9
Risiko
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Schätztheorie
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backtesting
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Basler Akkord
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value-at-risk
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Financial services
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Bloxham, Nicholas
2
Colucci, Stefano
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Mitic, Peter
2
Abad, Pilar
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Arnsdorf, Matthias
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Bee, Marco
1
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Biljon, L. van
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Buczy´nski, Mateusz
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Ha Tran Manh
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The journal of risk model validation
Insurance / Mathematics & economics
98
Journal of banking & finance
84
Risks : open access journal
58
Journal of risk
55
Finance research letters
48
The North American journal of economics and finance : a journal of financial economics studies
48
Energy economics
47
European journal of operational research : EJOR
40
Economic modelling
39
International review of financial analysis
32
The journal of operational risk
30
International journal of forecasting
29
Journal of risk and financial management : JRFM
29
Journal of empirical finance
28
Journal of risk management in financial institutions
28
Applied economics
27
Discussion paper / Tinbergen Institute
25
International review of economics & finance : IREF
24
Econometric Institute research papers
23
International journal of theoretical and applied finance
21
Journal of international financial markets, institutions & money
21
Quantitative finance
21
Computational economics
19
Journal of econometrics
19
Working paper
19
Research paper series / Swiss Finance Institute
18
The European journal of finance
18
Journal of forecasting
17
Working papers
17
Journal of mathematical finance
15
Pacific-Basin finance journal
14
The journal of credit risk : published quarterly by Incisive Media
14
Research in international business and finance
13
SpringerLink / Bücher
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Finance and stochastics
12
International journal of risk assessment and management : IJRAM
12
Journal of financial econometrics
12
Review of financial economics : RFE
12
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ECONIS (ZBW)
33
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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
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:
7
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:
8
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:
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
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