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~person:"Cremers, Heinz"
~person:"Hautsch, Nikolaus"
~subject:"Value at Risk"
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Value at Risk
Risikomaß
17
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14
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11
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11
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11
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10
network topology
10
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8
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4
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Cremers, Heinz
Hautsch, Nikolaus
Härdle, Wolfgang
11
Schaumburg, Julia
11
Guegan, Dominique
10
Hoogerheide, Lennart
9
Mittnik, Stefan
9
Cotter, John
8
Gürtler, Marc
8
Härdle, Wolfgang Karl
8
Schienle, Melanie
8
Paolella, Marc S.
7
Saunders, Anthony
7
Tarrant, Wayne
7
Dijk, Herman K. van
6
Scheicher, Martin
6
Zikovic, Sasa
6
Albrecht, Peter
5
Allen, Linda
5
Bec, Frédérique
5
Dowd, Kevin
5
Gollier, Christian
5
Huschens, Stefan
5
Raunig, Burkhard
5
Borke, Lukas
4
Chen, Ying
4
Fantazzini, Dean
4
Giacomini, Enzo
4
Jacobson, Tor
4
Jorion, Philippe
4
Kaserer, Christoph
4
Memmel, Christoph
4
Mudakkar, Syeda Rabab
4
Opschoor, Anne
4
Rau-Bredow, Hans
4
Roszbach, Kasper
4
Spokoiny, Vladimir
4
Stange, Sebastian
4
Uppal, Jamshed Y.
4
Vanini, Paolo
4
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Frankfurt School of Finance and Management
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Center for Financial Studies
1
Frankfurt School of Finance & Management
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1
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
2013
-varying marginal effect of a firm's
Value-at-risk
(VaR) on the system's VaR. Statistical inference reveals a multitude of relevant risk …
Persistent link: https://www.econbiz.de/10010201170
Saved in:
2
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai
;
Cremers, Heinz
;
Sanddorf, Walter
-
2014
time-varying volatility. In this paper, the estimation of conditional volatility is applied to
Value
at
Risk
measurement …
Persistent link: https://www.econbiz.de/10010331352
Saved in:
3
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai
;
Cremers, Heinz
;
Sanddorf, Walter
-
Frankfurt School of Finance and Management
-
2014
time-varying volatility. In this paper, the estimation of conditional volatility is applied to
Value
at
Risk
measurement …
Persistent link: https://www.econbiz.de/10010985133
Saved in:
4
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
2013
-varying marginal effect of a firm's
Value-at-risk
(VaR) on the system's VaR. Statistical inference reveals a multitude of relevant risk …
Persistent link: https://www.econbiz.de/10010326709
Saved in:
5
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
Center for Financial Studies
-
2013
-varying marginal effect of a firm's
Value-at-risk
(VaR) on the system's VaR. Statistical inference reveals a multitude of relevant risk …
Persistent link: https://www.econbiz.de/10010958644
Saved in:
6
Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des
Value
at
Risk
und des Expected Shortfall
Mehmke, Fabian
;
Cremers, Heinz
;
Packham, Natalie
-
2012
certain key figures such as
Value
at
Risk
or Expected Shortfall. This paper presents several state of the art methods to …
Persistent link: https://www.econbiz.de/10010309829
Saved in:
7
Financial network systemic risk contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
2012
effect of a firm's
Value-at-risk
(VaR) on the system's VaR. Suitable statistical inference reveals a multitude of relevant …
Persistent link: https://www.econbiz.de/10010318787
Saved in:
8
Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des
Value
at
Risk
und des Expected Shortfall
Mehmke, Fabian
;
Cremers, Heinz
;
Packham, Natalie
-
Frankfurt School of Finance and Management
-
2012
certain key figures such as
Value
at
Risk
or Expected Shortfall. This paper presents several state of the art methods to …
Persistent link: https://www.econbiz.de/10010957485
Saved in:
9
Financial Network Systemic Risk Contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
effect of a firm’s
Value-at-risk
(VaR) on the system’s VaR. Suitable statistical inference reveals a multitude of relevant …
Persistent link: https://www.econbiz.de/10011277260
Saved in:
10
Financial Network Systemic Risk Contributions
Hautsch, Nikolaus
;
Schaumburg, Julia
;
Schienle, Melanie
-
2011
and balance sheet information, we define the systemic risk beta as the time-varying marginal effect of a firm’s
Value-at-risk
…
Persistent link: https://www.econbiz.de/10009467134
Saved in:
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