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~person:"Blümke, Oliver"
~person:"Wang, Ruodu"
~subject:"Basler Akkord"
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Basler Akkord
Risikomaß
46
Risk measure
46
Theorie
40
Theory
40
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
12
Expected Shortfall
8
expected shortfall
7
Statistical distribution
6
Statistische Verteilung
6
robustness
6
Credit risk
5
Kreditrisiko
5
Probability theory
5
Wahrscheinlichkeitsrechnung
5
Basel III
4
Complete mixability
4
Pareto optimality
4
Aggregation
3
Bank risk
3
Bankrisiko
3
Basel 3.5
3
Correlation
3
Diversification
3
Diversifikation
3
Financial services
3
Finanzdienstleistung
3
Korrelation
3
Pareto efficiency
3
Pareto-Optimum
3
Risk aggregation
3
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Article
8
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4
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8
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8
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1
Graue Literatur
1
Non-commercial literature
1
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1
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English
12
Author
All
Blümke, Oliver
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
Altman, Edward I.
4
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
Chan, Felix
3
Cremers, Heinz
3
Da Veiga, Bernardo
3
Fricke, Jens
3
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Finance and stochastics
2
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 fixed income
1
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ECONIS (ZBW)
12
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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
Asset Correlation, Diversification and the Basel Accord : A Comparative Study
Blümke, Oliver
-
2018
The 2008-2009 financial crises revealed that the Basel Accord of 2004 was inadequate to ensure a stable financial sector. In this paper we analyze whether the Basel Accord's assumption of a single risk factor contributed to the instability. The asset correlation parameter describes the degree of...
Persistent link: https://www.econbiz.de/10012933974
Saved in:
6
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:
7
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:
8
On the Basel Accord's Inverse Relationship between Default Probability and Asset Correlation : An Empirical Study
Blümke, Oliver
-
2017
The Basel Accord assumes an inverse relationship between the probability of default and the asset correlation parameter, with the latter being responsible for modeling the degree of cyclicality of default rates. Previous empirical studies that embedded the formula of the Basel Accord into a...
Persistent link: https://www.econbiz.de/10012959214
Saved in:
9
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:
10
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:
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