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~isPartOf:"The journal of risk model validation"
~subject:"Estimation theory"
~subject:"Kreditrisiko"
~subject:"Risk"
~subject:"Volatilität"
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Estimation theory
Kreditrisiko
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Volatilität
Risikomaß
67
Risk measure
67
Theorie
24
Theory
24
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23
Risk management
23
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19
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19
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18
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value-at-risk (VaR)
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backtesting
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The journal of risk model validation
Insurance / Mathematics & economics
140
Journal of banking & finance
84
Finance research letters
72
Risks : open access journal
68
European journal of operational research : EJOR
67
Journal of risk
63
Energy economics
50
The North American journal of economics and finance : a journal of financial economics studies
43
Economic modelling
38
Quantitative finance
38
International review of financial analysis
36
Discussion paper / Tinbergen Institute
31
International journal of forecasting
31
Journal of risk and financial management : JRFM
30
International review of economics & finance : IREF
29
Journal of empirical finance
28
International journal of theoretical and applied finance
27
Applied economics
26
Computational economics
25
Journal of econometrics
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Mathematics of operations research
22
Finance and stochastics
21
Journal of risk management in financial institutions
21
The European journal of finance
21
Journal of international financial markets, institutions & money
20
Journal of mathematical finance
20
Operations research
20
Scandinavian actuarial journal
20
The journal of credit risk : published quarterly by Incisive Media
20
Journal of forecasting
19
Research paper series / Swiss Finance Institute
19
Mathematics and financial economics
17
Pacific-Basin finance journal
17
Working paper
16
Journal of financial econometrics
15
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
35
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1
The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
Saved in:
2
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:
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
Estimating
value-at-risk
using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
6
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
7
Model risk qualification based on relative entropy
Arrieta, Daniel
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
Saved in:
8
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:
9
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:
10
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
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