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~subject:"Hedging"
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Search: subject:"Value at Risk"
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Hedging
Risikomaß
7,383
Risk measure
7,357
Theorie
3,588
Theory
3,543
Portfolio-Management
2,688
Portfolio selection
2,670
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2,255
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2,219
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2,054
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2,052
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1,161
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1,140
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1,106
Statistical distribution
1,098
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1,093
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1,077
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1,011
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1,001
Volatility
962
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954
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888
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880
Value-at-Risk
767
Kapitaleinkommen
760
Capital income
758
Value at Risk
658
Kreditrisiko
634
Credit risk
616
Bankrisiko
556
Bank risk
553
Basel Accord
513
Basler Akkord
499
Outliers
487
Ausreißer
485
Schätztheorie
483
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479
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467
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461
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451
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135
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8
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Albrecht, Peter
7
Ahelegbey, Daniel Felix
5
Kang, Sang Hoon
5
Mensi, Walid
5
Föllmer, Hans
4
Giudici, Paolo
4
Hammoudeh, Shawkat
4
Leukert, Peter
4
Mojtahedi, Fatemeh
4
Agarwal, Vikas
3
Chuang, Chung-Chu
3
Dahl, Bruce L.
3
Delage, Erick
3
Hanly, Jim
3
Marzban, Saeed
3
Pekelis, Alexandr
3
Ruenzi, Stefan
3
Stulz, René M.
3
Wang, Yi-Hsien
3
Weigert, Florian
3
Wilson, William W.
3
Yeh, Tsai-Jung
3
Al-Jarrah, Idries Mohammad Wanas
2
Al-Yahyaee, Khamis Hamed
2
Almeida, Caio
2
Barbi, Massimiliano
2
Chen, Jian
2
Chuang, Shuo-Li
2
Cotter, John
2
Ding, Qing
2
Doko Tchatoka, Firmin
2
Fard, Farzad Alavi
2
Franke, Günter
2
Godin, Frédéric
2
Hamel, Emmanuel
2
Hawes, Cullen R.
2
Huggenberger, Markus
2
Li, Johnny Siu-Hang
2
Li, Jonathan Yu-Meng
2
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2
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1
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1
Harvard Institute for International Development
1
International Association for the Study of Insurance Economics
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
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1
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1
Walter de Gruyter GmbH & Co. KG
1
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7
The North American journal of economics and finance : a journal of financial economics studies
7
Journal of banking & finance
6
Research in international business and finance
5
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4
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4
Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
4
Computational economics
3
DEM working paper series
3
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3
Finance and stochastics
3
International review of economics & finance : IREF
3
Quantitative finance
3
Risks : open access journal
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Annals of finance
2
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
2
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
2
European journal of operational research : EJOR
2
International journal of financial engineering
2
International review of financial analysis
2
Journal of risk
2
Pacific-Basin finance journal
2
Wiley series in probability and statistics
2
Advanced mathematical methods for finance
1
Advances in investment analysis and portfolio management : a research annual
1
Agribusiness & Applied Economics Report
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Agricultural finance review
1
American journal of finance and accounting
1
Applied mathematical finance
1
Asia-Pacific journal of financial studies
1
Asian Finance Association (AsianFA) 2015 Conference Paper
1
Astin bulletin : the journal of the International Actuarial Association
1
Borsa Istanbul Review
1
Cahiers de recherche
1
CoFE discussion papers
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Computational Management Science : CMS
1
Corporate risk : strategies and management
1
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ECONIS (ZBW)
173
RePEc
7
BASE
3
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EconStor
1
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185
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date (oldest first)
1
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
2
Integrated Capacity and Exchange Rate Hedging in Multi-Markets under
Value-at-Risk
Chen, Jian
;
Ding, Qing
;
Ren, Long
;
Song, Jing-Sheng …
-
2023
profit-risk through a
Value-at-Risk
(VaR) constraint, which ensures the probability of the realized profit below a profit …
Persistent link: https://www.econbiz.de/10014255636
Saved in:
3
Risk hedging for VaR-constrained newsvendors
Chang, Shuhua
;
Li, Jiajing
;
Sethi, Suresh P.
;
Wang, Xinyu
- In:
Transportation research : an international journal
181
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014462499
Saved in:
4
Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
5
Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach
Racicot, François-Éric
;
Théoret, Raymond
- In:
Financial innovation : FIN
8
(
2022
),
pp. 1-56
The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...
Persistent link: https://www.econbiz.de/10013169857
Saved in:
6
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yumeng
-
2022
-
Revised: August 2022
Persistent link: https://www.econbiz.de/10013433493
Saved in:
7
Oil hedging with a multivariate semiparametric
value-at-risk
portfolio
Živkov, Dejan
;
Manić, Slavica
;
Đurašković, Jasmina
; …
- In:
Borsa Istanbul Review
22
(
2022
)
6
,
pp. 1118-1131
, parametric
value-at-risk
(VaR), and semiparametric
value-at-risk
. Brent oil is combined with five emerging ASEAN (Association of …
Persistent link: https://www.econbiz.de/10014305873
Saved in:
8
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi
;
Doko Tchatoka, Firmin
; …
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
3/97
,
pp. 1-19
maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the
value-at-risk
and expected …
Persistent link: https://www.econbiz.de/10012484861
Saved in:
9
Hedging gas in a multi-frequency semiparametric CVaR portfolio
Živkov, Dejan
;
Balaban, Suzana
;
Simić, Milica
- In:
Research in international business and finance
67
(
2024
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014451522
Saved in:
10
Reinforcement learning with dynamic convex risk measures
Coache, Anthony
;
Jaimungal, Sebastian
- In:
Mathematical finance : an international journal of …
34
(
2024
)
2
,
pp. 557-587
Persistent link: https://www.econbiz.de/10014514792
Saved in:
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