//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Wang, Ruodu"
~subject:"Basler Akkord"
~subject:"Statistische Verteilung"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"value at risk"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Basler Akkord
Statistische Verteilung
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
robustness
6
Basel III
4
Complete mixability
4
Pareto optimality
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
more ...
less ...
Online availability
All
Undetermined
7
Free
4
Type of publication
All
Article
10
Book / Working Paper
3
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
Language
All
English
13
Author
All
Wang, Ruodu
McAleer, Michael
55
Pérez Amaral, Teodosio
32
Jiménez-Martín, Juan-Ángel
23
Chang, Chia-Lin
16
Stoja, Evarist
15
Fabozzi, Frank J.
13
Polanski, Arnold
13
Hoogerheide, Lennart
11
Stoyanov, Stoyan V.
11
Vries, Casper G. de
11
Allen, David E.
10
Dionne, Georges
10
Guégan, Dominique
10
Landsman, Zinoviy
10
Račev, Svetlozar T.
10
Daníelsson, Jón
9
Dijk, Herman K. van
9
Embrechts, Paul
9
Hassani, Samir Saissi
9
Härdle, Wolfgang
9
Jimenez-Martin, Juan-Angel
9
Mao, Tiantian
9
Paolella, Marc S.
9
Gerlach, Richard
8
Opschoor, Anne
8
Stupfler, Gilles
8
Chinhamu, Knowledge
7
Daouia, Abdelaati
7
Taylor, James W.
7
Vilsmeier, Johannes
7
Bianchi, Michele Leonardo
6
Furman, Edward
6
Hoga, Yannick
6
Hyung, Namwon
6
Ignatieva, Katja
6
Kim, Young Shin
6
Maasoumi, Esfandiar
6
Rösch, Daniel
6
Scaillet, Olivier
6
more ...
less ...
Published in...
All
Finance and stochastics
3
Mathematics of operations research
2
Insurance / Mathematics & economics
1
Journal of econometrics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Operations research
1
Research paper series / Swiss Finance Institute
1
Risks : open access journal
1
more ...
less ...
Source
All
ECONIS (ZBW)
13
Showing
1
-
10
of
13
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
-
2020
popular classes of regulatory risk measures in banking and insurance, the
Value-at-Risk
(VaR) and the Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10012855126
Saved in:
4
Ordering and inequalities for mixtures on risk aggregation
Chen, Yuyu
;
Liu, Peng
;
Liu, Yang
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
32
(
2022
)
1
,
pp. 421-451
Persistent link: https://www.econbiz.de/10012815980
Saved in:
5
Distributional transforms, probability distortions, and their applications
Liu, Peng
;
Schied, Alexander
;
Wang, Ruodu
- In:
Mathematics of operations research
46
(
2021
)
4
,
pp. 1490-1512
Persistent link: https://www.econbiz.de/10012796660
Saved in:
6
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:
7
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:
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
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->