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~language:"eng"
~person:"Brandtner, Mario"
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"Messung"
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Search: subject:"Value at Risk"
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Estimation theory
Kapitaleinkommen
Messung
Risikomaß
14
Risk measure
14
Theorie
14
Theory
14
Portfolio selection
10
Portfolio-Management
10
Risiko
10
Measurement
9
Risk
9
Spectral risk measures
7
Risikoaversion
6
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6
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5
Entscheidung unter Risiko
5
Risikomanagement
5
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5
Conditional Value-at-Risk
3
Reinsurance
3
Rückversicherung
3
Arrow-Pratt-risk aversion
2
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2
Basler Akkord
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Decision analysis
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Entropic risk measure
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Expected Shortfall
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Expected utility
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Bank regulation
1
Bank risk
1
Bankenregulierung
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Brandtner, Mario
Wang, Ruodu
26
McAleer, Michael
19
Righi, Marcelo Brutti
19
Rosazza Gianin, Emanuela
19
Ardia, David
13
Hammoudeh, Shawkat
13
Stoja, Evarist
13
Polanski, Arnold
12
Bali, Turan G.
11
Cai, Jun
11
Landsman, Zinoviy
11
Mao, Tiantian
11
Tsanakas, Andreas
11
Allen, David E.
10
Bellini, Fabio
10
Dhaene, Jan
10
Francq, Christian
10
Zakoïan, Jean-Michel
10
Caporin, Massimiliano
9
Furman, Edward
9
Kratz, Marie
9
Bignozzi, Valeria
8
Diebold, Francis X.
8
Escanciano, Juan Carlos
8
Fabozzi, Frank J.
8
Feng, Runhuan
8
Gouriéroux, Christian
8
Guillén, Montserrat
8
Härdle, Wolfgang
8
Laeven, Roger J. A.
8
Munari, Cosimo-Andrea
8
Vanduffel, Steven
8
Almeida, Caio
7
Asai, Manabu
7
Balbás de la Corte, Alejandro
7
Boonen, Tim J.
7
Centrone, Francesca
7
Ceretta, Paulo Sergio
7
Cheung, Ka Chun
7
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Friedrich-Schiller-Universität Jena
1
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European journal of operational research : EJOR
2
Journal of banking & finance
2
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1
Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge
1
Quantitative finance
1
Scandinavian actuarial journal
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ECONIS (ZBW)
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1
Tail nonlinearly transformed risk measure as a capital constraint : a better choice for bank regulation than conditional
value-at-risk
?
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Modern finance and risk management : Festschrift in …
,
(pp. 197-218)
.
2022
Persistent link: https://www.econbiz.de/10013336233
Saved in:
2
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
3
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
4
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
5
Decision making with conditional
value-at-risk
and spectral risk measures : the problem of comparative risk aversion ; conference paper
Brandtner, Mario
;
Kürsten, Wolfgang
-
2014
should look like instead. Within the framework of Ross, we show that the popular subclasses of Conditional
Value-at-Risk
, and …
Persistent link: https://www.econbiz.de/10010491150
Saved in:
6
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario
- In:
Journal of banking & finance
89
(
2018
),
pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Saved in:
7
Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
264
(
2018
)
2
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
Saved in:
8
Decision making under risk with spectral risk measures : concepts and applications in financial theory
Brandtner, Mario
-
2016
Persistent link: https://www.econbiz.de/10011525409
Saved in:
9
"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar
Brandtner, Mario
- In:
Journal of financial services research : JFSR
49
(
2016
)
1
,
pp. 121-131
Persistent link: https://www.econbiz.de/10011591964
Saved in:
10
Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Journal of banking & finance
58
(
2015
),
pp. 268-280
Persistent link: https://www.econbiz.de/10011544006
Saved in:
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