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~person:"Wang, Ruodu"
~subject:"Basler Akkord"
~subject:"Pareto optimality"
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Basler Akkord
Pareto optimality
Risikomaß
43
Risk measure
43
Theorie
40
Theory
40
Risiko
31
Risk
31
Measurement
24
Messung
24
Portfolio selection
23
Portfolio-Management
23
Risikomanagement
20
Risk management
20
Value-at-Risk
14
Basel Accord
9
Expected Shortfall
8
expected shortfall
7
Statistical distribution
6
Statistische Verteilung
6
robustness
6
Basel III
4
Complete mixability
4
Aggregation
3
Bank risk
3
Bankrisiko
3
Basel 3.5
3
Financial services
3
Finanzdienstleistung
3
Pareto efficiency
3
Pareto-Optimum
3
Probability theory
3
Risk aggregation
3
Wahrscheinlichkeitsrechnung
3
backtesting
3
model uncertainty
3
risk aggregation
3
risk sharing
3
risk-weighted assets
3
value-at-risk
3
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Online availability
All
Undetermined
9
Free
3
Type of publication
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Article
11
Book / Working Paper
2
Type of publication (narrower categories)
All
Article in journal
11
Aufsatz in Zeitschrift
11
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
Language
All
English
13
Author
All
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
Blümke, Oliver
3
Cai, Jun
3
Chan, Felix
3
Cremers, Heinz
3
Da Veiga, Bernardo
3
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Published in...
All
Insurance / Mathematics & economics
4
Finance and stochastics
2
Mathematics of operations research
2
Journal of econometrics
1
Operations research
1
Research paper series / Swiss Finance Institute
1
Risks : open access journal
1
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All
ECONIS (ZBW)
13
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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
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Liu, Fangda
;
Mao, Tiantian
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Mathematics of operations research
47
(
2022
)
3
,
pp. 2494-2519
Persistent link: https://www.econbiz.de/10013375081
Saved in:
4
Risk measures induced by efficient insurance contracts
Wang, Qiuqi
;
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 56-65
Persistent link: https://www.econbiz.de/10013198326
Saved in:
5
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:
6
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:
7
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
8
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:
9
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:
10
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:
1
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