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~person:"Cremers, Heinz"
~subject:"Value at Risk"
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Value at Risk
Backtesting
5
Risikomaß
5
Market Risk
4
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3
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Cremers, Heinz
Härdle, Wolfgang
11
Schaumburg, Julia
11
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10
Hautsch, Nikolaus
10
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9
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4
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Frankfurt School of Finance & Management
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1
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:
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
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:
4
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:
5
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/10010237661
Saved in:
6
Handlungsalternativen einer Genossenschaftsbank im Investmentprozess unter Berücksichtigung der Risikotragfähigkeit
Traughber, Patrick
;
Cremers, Heinz
-
Frankfurt School of Finance & Management
-
2007
for example interest rate risk with a non parametric
Value-at-Risk
-approach. Secondly we define risk capacity limits and …
Persistent link: https://www.econbiz.de/10005865698
Saved in:
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