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~isPartOf:"The journal of risk model validation"
~subject:"Basel Accord"
~subject:"Risk management"
~type:"article"
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Search: subject_exact:"VaR (Value at Risk)"
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Basel Accord
Risk management
Risikomaß
60
Risk measure
60
Theorie
21
Theory
21
Risikomanagement
20
Portfolio selection
18
Portfolio-Management
18
ARCH model
15
ARCH-Modell
15
Statistical distribution
13
Statistische Verteilung
13
Credit risk
11
Estimation
11
Forecasting model
11
Kreditrisiko
11
Prognoseverfahren
11
Schätzung
11
Volatility
11
Volatilität
11
value-at-risk (VaR)
11
Measurement
10
Messung
10
Estimation theory
9
Risiko
9
Risk
9
Schätztheorie
9
backtesting
9
Basler Akkord
6
value-at-risk
6
Statistical test
5
Statistischer Test
5
Ausreißer
4
Financial services
4
Finanzdienstleistung
4
Monte Carlo simulation
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24
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24
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English
24
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Bloxham, Nicholas
2
Mitic, Peter
2
Abad, Pilar
1
Arnsdorf, Matthias
1
Bee, Marco
1
Benito Muela, Sonia
1
Biljon, L. van
1
Cai, Chunlin
1
Chen, Jiun-Lin
1
Chen, Wei
1
Cooper, James
1
Erdman, Donald
1
Fałdziński, Marcin
1
Fischer, Matthias
1
Georgiopoulos, Nick
1
Gjølberg, Ole
1
Gonpot, Preethee Nunkoo
1
Ha Tran Manh
1
Haasbroek, L. J.
1
Hassani, Bertrand
1
Ho, Kung-Cheng
1
Jiang, Shuyang
1
Kontaxis, Grigorios
1
Lee, Shih-Cheng
1
Loois, Miriam
1
López Martin, Carmen
1
Mai Ngoc Tran
1
Mertel, Alexander
1
Novosyolov, Arcady
1
Osińska, Magdalena
1
Panman, Kevin
1
Prorokowski, Lukasz
1
Reitgruber, Wolfgang
1
Satchkov, Daniel
1
Schutte, W. D.
1
Skoglund, Jimmy
1
Steen, Marie
1
Tarrant, Wayne
1
Tsolas, Ioannis E.
1
Verster, Tanja
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Published in...
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The journal of risk model validation
Insurance / Mathematics & economics
97
Journal of banking & finance
66
Risks : open access journal
55
Journal of risk
44
European journal of operational research : EJOR
39
The journal of operational risk
30
Economic modelling
28
Finance research letters
27
Journal of risk management in financial institutions
27
Energy economics
25
The North American journal of economics and finance : a journal of financial economics studies
24
International review of financial analysis
18
Quantitative finance
18
International journal of theoretical and applied finance
16
International review of economics & finance : IREF
15
Applied economics
14
Journal of risk and financial management : JRFM
14
The journal of credit risk : published quarterly by Incisive Media
14
International journal of forecasting
13
Journal of econometrics
13
Journal of international financial markets, institutions & money
13
The European journal of finance
13
Finance and stochastics
12
Journal of empirical finance
12
Computational economics
11
International journal of risk assessment and management : IJRAM
10
Journal of financial stability
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
International journal of finance & economics : IJFE
9
Journal of mathematical finance
9
Operations research letters
9
Pacific-Basin finance journal
9
Research in international business and finance
9
Scandinavian actuarial journal
9
Applied economics letters
8
Astin bulletin : the journal of the International Actuarial Association
8
International journal of production research
8
Journal of financial econometrics
8
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ECONIS (ZBW)
24
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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
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
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:
9
Model risk management : from epistemology to corporate governance
Hassani, Bertrand
- In:
The journal of risk model validation
13
(
2019
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012140252
Saved in:
10
Validation of index and benchmark assignment : adequacy of capturing tail risk
Prorokowski, Lukasz
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 71-105
Persistent link: https://www.econbiz.de/10012373148
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