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Search: subject:"Adjusted value‐at‐risk"
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Al Janabi, Mazin A. M.
9
Al Janabi, Mazin A.M.
2
Cremers, Heinz
2
Panzer, Christof
2
Völker, Florian
2
Buchner, Axel
1
El‐Aroui, Mhamed‐Ali
1
Fragnière, Emmanuel
1
Gondzio, Jacek
1
JANABI, MAZIN A. M. AL
1
Janabi, Mazin A.M. Al
1
Snoussi, Wafa
1
Song, Xiuna
1
Tuchschmid, Nils
1
Wang, Jun
1
Zhang, Qun
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Frankfurt School of Finance and Management
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Banking resilience : new insights on corporate governance, sustainability and digital innovation
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ECONIS (ZBW)
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1
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1
Optimum and coherent economic capital forecasts with reinforcement machine learning : evidence from optimization algorithms under long and short-sales multiple asset portfolios of...
Al Janabi, Mazin A. M.
- In:
Banking resilience : new insights on corporate …
,
(pp. 343-389)
.
2024
Persistent link: https://www.econbiz.de/10015179402
Saved in:
2
Liquidity Dynamics and Risk Modeling : Navigating Trading and Investment Portfolios Frontiers with Machine Learning Algorithms
Al Janabi, Mazin A. M.
-
2024
directions of liquidity risk management using modified Liquidity-
Adjusted
Value-at-Risk
(L-VaR) models with the application of …
Persistent link: https://www.econbiz.de/10015157948
Saved in:
3
Constrained optimization algorithms for the computation of investable portfolios analytics : evaluation of economic-capital parameters for performance measurement and improvement
Al Janabi, Mazin A. M.
- In:
Studies in economics and finance
40
(
2023
)
1
,
pp. 112-137
Persistent link: https://www.econbiz.de/10013503886
Saved in:
4
Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints
Al Janabi, Mazin A. M.
- In:
Journal of modelling in management
17
(
2022
)
3
,
pp. 864-895
Persistent link: https://www.econbiz.de/10013362663
Saved in:
5
The effect of limited attention and risk attitude on left-tail reversal : empirical results from a-share data in China
Wang, Jun
;
Song, Xiuna
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013339191
Saved in:
6
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian
;
Cremers, Heinz
;
Panzer, Christof
-
2012
(exogenous / endogenous). We then present and evaluate different liquidity-
adjusted
Value
at
Risk
models which capture one or …
Persistent link: https://www.econbiz.de/10010310853
Saved in:
7
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian
;
Cremers, Heinz
;
Panzer, Christof
-
Frankfurt School of Finance and Management
-
2012
(exogenous / endogenous). We then present and evaluate different liquidity-
adjusted
Value
at
Risk
models which capture one or …
Persistent link: https://www.econbiz.de/10010985130
Saved in:
8
Risk management for private equity funds
Buchner, Axel
- In:
Journal of risk
19
(
2017
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011799119
Saved in:
9
Non-parametric liquidity-adjusted VaR model: a stochastic programming approach
Fragnière, Emmanuel
;
Gondzio, Jacek
;
Tuchschmid, Nils
; …
- In:
Journal of Financial Transformation
28
(
2010
),
pp. 109-116
This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-
adjusted
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10008487635
Saved in:
10
Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios
Al Janabi, Mazin A. M.
-
Volkswirtschaftliche Fakultät, …
-
2009
of Liquidity-
Adjusted
Value-at-Risk
(L-VaR) framework, and particularly from the perspective of trading portfolios that …
Persistent link: https://www.econbiz.de/10008557078
Saved in:
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