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~person:"Brandtner, Mario"
~person:"Dijk, Herman K. van"
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Search: subject:"value at risk"
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Risikomaß
28
Risk measure
28
Theorie
24
Theory
24
Portfolio selection
13
Messung
12
Portfolio-Management
12
Risiko
12
Measurement
11
Risk
11
Spectral risk measures
9
Statistical distribution
9
Statistische Verteilung
9
Value-at-Risk
9
Forecasting model
8
Prognoseverfahren
8
Bayes-Statistik
7
Bayesian inference
7
Conditional Value-at-Risk
7
Expected Shortfall
7
Risikomanagement
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importance sampling
7
Markov chain Monte Carlo
6
Risikoaversion
6
Risk aversion
6
Value at Risk
6
Decision under risk
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Entscheidung unter Risiko
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Metropolis-Hastings algorithm
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Risk management
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mixture of Student-t distributions
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ARCH model
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ARCH-Modell
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Erwartungsnutzen
4
Expected utility
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Markov chain
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Markov-Kette
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Monte Carlo simulation
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English
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Brandtner, Mario
Dijk, Herman K. van
McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
49
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
22
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Tinbergen Instituut
5
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3
Friedrich-Schiller-Universität Jena
1
Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena
1
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Discussion paper / Tinbergen Institute
8
Tinbergen Institute Discussion Papers
8
European journal of operational research : EJOR
3
Journal of banking & finance
3
29th International Conference of the French Finance Association (AFFI) 2012
1
Insurance / Mathematics & economics
1
Insurance: Mathematics and Economics
1
International journal of forecasting
1
Jena Research Papers in Business and Economics - Working and Discussion Papers
1
Jena research papers in business and economics : working and discussion paper series School of Economics and Business Administration Friedrich Schiller University Jena
1
Journal of Banking & Finance
1
Journal of econometrics
1
Journal of financial services research : JFSR
1
Management review quarterly : systematic literature reviews, meta-analyses, and replication studies
1
Modern finance and risk management : Festschrift in honour of Hermann Locarek-Junge
1
Quantitative finance
1
Scandinavian actuarial journal
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
Schriften zur Quantitativen Betriebswirtschaftslehre
1
Schriften zur quantitativen Betriebswirtschaftslehre
1
Springer Gabler / Research
1
SpringerLink / Bücher
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Working paper / Norges Bank
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ECONIS (ZBW)
30
RePEc
11
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1
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Date (oldest first)
1
Partially Censored Posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012214294
Saved in:
2
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:
3
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:
4
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
5
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:
6
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:
7
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the
Value-at-Risk
and Expected Shortfall estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
Saved in:
8
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:
9
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:
10
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:
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