//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Altman, Edward I."
~person:"Wang, Ruodu"
~subject:"Basler Akkord"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"value at risk"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Basler Akkord
Risikomaß
49
Risk measure
49
Theorie
41
Theory
41
Risiko
31
Risk
31
Measurement
24
Messung
24
Portfolio selection
24
Portfolio-Management
24
Risikomanagement
20
Risk management
20
Value-at-Risk
14
Basel Accord
13
Expected Shortfall
8
Credit risk
7
Kreditrisiko
7
expected shortfall
7
Statistical distribution
6
Statistische Verteilung
6
robustness
6
Basel III
4
Complete mixability
4
Corporate bond
4
Pareto optimality
4
Unternehmensanleihe
4
Aggregation
3
Bank risk
3
Bankrisiko
3
Basel 3.5
3
Financial services
3
Finanzdienstleistung
3
Forecasting model
3
Pareto efficiency
3
Pareto-Optimum
3
Probability theory
3
Prognoseverfahren
3
Risk aggregation
3
Wahrscheinlichkeitsrechnung
3
more ...
less ...
Online availability
All
Undetermined
5
Free
3
Type of publication
All
Article
9
Book / Working Paper
4
Type of publication (narrower categories)
All
Article in journal
8
Aufsatz in Zeitschrift
8
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Aufsatz im Buch
1
Book section
1
more ...
less ...
Language
All
English
13
Author
All
Altman, Edward I.
Wang, Ruodu
McAleer, Michael
48
Pérez Amaral, Teodosio
32
Jiménez-Martín, Juan-Ángel
23
Chang, Chia-Lin
16
Hassani, Samir Saissi
9
Jimenez-Martin, Juan-Angel
9
Dionne, Georges
8
Allen, David E.
7
Guégan, Dominique
6
Maasoumi, Esfandiar
6
Rösch, Daniel
6
Daníelsson, Jón
5
Embrechts, Paul
5
Kellner, Ralf
5
Resti, Andrea
5
Sironi, Andrea
5
Varotto, Simone
5
Brady, Brooks
4
Farkas, Walter
4
Gatzert, Nadine
4
Hassani, Bertrand K.
4
Jiménez-Martin, Juan-Angel
4
Johanning, Lutz
4
Kane, Edward J.
4
Lindé, Jesper
4
Neisen, Martin
4
Perez Amaral, Teodosio
4
Roszbach, Kasper
4
Röth, Stefan
4
Wilkens, Sascha
4
Adrian, Tobias
3
Alexander, Gordon J.
3
Bianchi, Michele Leonardo
3
Blümke, Oliver
3
Chan, Felix
3
Cremers, Heinz
3
Da Veiga, Bernardo
3
Fricke, Jens
3
more ...
less ...
Published in...
All
Finance and stochastics
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
Credit risk : models, derivatives, and management
1
Insurance / Mathematics & economics
1
Journal of econometrics
1
Mathematics of operations research
1
Operations research
1
Research paper series / Swiss Finance Institute
1
Risks : open access journal
1
The journal of business : B
1
more ...
less ...
Source
All
ECONIS (ZBW)
13
Showing
1
-
10
of
13
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
2
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
Saved in:
3
A theory for measures of tail risk
Liu, Fangda
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
3
,
pp. 1109-1128
Persistent link: https://www.econbiz.de/10012625694
Saved in:
4
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
-
2017
-
This version: October 24, 2017
-called Range-
Value-at-Risk
(RVaR), as their preferences. The family of RVaR includes the
Value-at-Risk
(VaR) and the Expected …
Persistent link: https://www.econbiz.de/10011874813
Saved in:
5
Regulatory Arbitrage of Risk Measures
Wang, Ruodu
-
2015
measures in practical use, such as the
Value-at-Risk
(VaR), are often not coherent and the magnitude of their regulatory …
Persistent link: https://www.econbiz.de/10013029901
Saved in:
6
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
7
An academic response to Basel 3.5
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
; …
- In:
Risks : open access journal
2
(
2014
)
1
,
pp. 25-48
). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10010338097
Saved in:
8
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
9
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Puccetti, Giovanni
;
Wang, Bin
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 821-828
Persistent link: https://www.econbiz.de/10010227817
Saved in:
10
The link between default and recovery rates : theory, empirical evidence, and implications
Altman, Edward I.
;
Brady, Brooks
;
Resti, Andrea
; …
- In:
Credit risk : models, derivatives, and management
,
(pp. 211-234)
.
2008
Persistent link: https://www.econbiz.de/10003718478
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->