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Search: subject:"Conditional value at risk"
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Risikomaß
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McAleer, Michael
96
Härdle, Wolfgang
53
Wang, Ruodu
52
Allen, David E.
45
Fabozzi, Frank J.
41
Pérez Amaral, Teodosio
36
Righi, Marcelo Brutti
32
Vries, Casper G. de
32
Daníelsson, Jón
31
Powell, Robert
31
Vanduffel, Steven
30
Stoja, Evarist
29
Rosazza Gianin, Emanuela
28
Račev, Svetlozar T.
27
Al Janabi, Mazin A. M.
26
Dowd, Kevin
26
Lucas, André
26
Chang, Chia-Lin
24
Stoyanov, Stoyan V.
24
Hammoudeh, Shawkat
23
Paolella, Marc S.
23
Brandtner, Mario
22
Embrechts, Paul
22
Jiménez-Martín, Juan-Ángel
22
Rüschendorf, Ludger
22
Caporin, Massimiliano
21
Cheung, Ka Chun
21
Dhaene, Jan
21
Tsanakas, Andreas
21
Uryasev, Stan
21
Boonen, Tim J.
20
Chen Zhou
20
Giot, Pierre
20
Huschens, Stefan
20
Weiß, Gregor
20
Wied, Dominik
20
Albrecht, Peter
19
Bernard, Carole
19
Dionne, Georges
19
Munari, Cosimo-Andrea
19
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National Bureau of Economic Research
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Springer Fachmedien Wiesbaden
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Basel Committee on Banking Supervision
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
6
European Central Bank
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School of Business, Edith Cowan University
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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University of Canterbury / Dept. of Economics and Finance
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Friedrich-Schiller-Universität Jena
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Pensions Institute
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Springer-Verlag GmbH
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Universität Mannheim
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2
Federal Reserve Bank of San Francisco
2
Geary Institute, University College Dublin
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Gottfried Wilhelm Leibniz Universität Hannover
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HFDF <2, 1998, Zürich>
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International Center for Financial Asset Management and Engineering
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Universität Konstanz
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1
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
1
Department of Economics and Finance, College of Business and Economics
1
Department of Economics, Iowa State University
1
Department of Economics, Tufts University
1
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Insurance / Mathematics & economics
252
Journal of banking & finance
183
European journal of operational research : EJOR
132
Journal of risk
125
Risks : open access journal
123
Finance research letters
112
International review of financial analysis
72
Economic modelling
68
The journal of risk model validation
67
Energy economics
63
Discussion paper / Tinbergen Institute
62
Quantitative finance
61
The journal of operational risk
60
International journal of theoretical and applied finance
56
Applied economics
55
International journal of forecasting
55
Journal of risk and financial management : JRFM
54
The North American journal of economics and finance : a journal of financial economics studies
53
Journal of empirical finance
52
Journal of forecasting
50
Journal of risk management in financial institutions
50
Journal of econometrics
47
Computational economics
44
The European journal of finance
42
Scandinavian actuarial journal
41
International review of economics & finance : IREF
39
Research in international business and finance
39
Finance and stochastics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
Working paper
37
Management science : journal of the Institute for Operations Research and the Management Sciences
36
Research paper series / Swiss Finance Institute
36
Journal of economic dynamics & control
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Operations research
34
Applied economics letters
33
Operations research letters
33
SFB 649 discussion paper
33
Econometric Institute research papers
31
Mathematics and financial economics
31
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ECONIS (ZBW)
8,294
RePEc
126
EconStor
26
BASE
7
Other ZBW resources
4
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601
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610
of
8,457
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date (oldest first)
601
CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions
Ding, Rui
;
Uryasev, Stan
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
11/270
,
pp. 1-18
system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (
conditional
value-at-risk
conditioned on an …
Persistent link: https://www.econbiz.de/10012389811
Saved in:
602
Portfolio construction by using different risk models: a comparison among diverse economic scenarios
Hunjra, Ahmed Imran
;
Alawi, Suha Mahmoud
;
Colombage, Sisira
- In:
Risks : open access journal
8
(
2020
)
4/126
,
pp. 1-23
absolute deviation (MaD) and
conditional
value
at
risk
(CVaR) are considered as risk measures. The price data were extracted …
Persistent link: https://www.econbiz.de/10012390956
Saved in:
603
A new semiparametric mirrored historical simulation value-at-risk model
Radivojević, Nikola
;
Filipović, Luka
;
Brzaković, …
- In:
Romanian journal of economic forecasting
23
(
2020
)
1
,
pp. 5-21
Persistent link: https://www.econbiz.de/10012421878
Saved in:
604
VaR and CVaR estimates in BRIC's oil sector : a normal inverse Gaussian distribution approach
Ruenes, Sánchez
;
Núñez Mora, José Antonio
;
Mota …
- In:
Economía teoría y práctica
28
(
2020
)
52
,
pp. 207-236
Persistent link: https://www.econbiz.de/10012617869
Saved in:
605
Markov Chain Monte Carlo methods for estimating systemic risk allocations
Koike, Takaaki
;
Hofert, Marius
- In:
Risks : open access journal
8
(
2020
)
1/6
,
pp. 1-33
intersection of linear constraints, this class of allocations covers, for example,
conditional
Value-at-Risk
(CoVaR), conditional …
Persistent link: https://www.econbiz.de/10012204312
Saved in:
606
On quadratic forms in multivariate generalized hyperbolic random vectors
Broda, S.
;
Arismendi Zambrano, Juan Carlos
-
2020
Persistent link: https://www.econbiz.de/10013168897
Saved in:
607
Interdependence and spillovers between big oil companies and regional and global energy equity markets
Hanif, Waqas
;
Hernandez, Jose Arreola
;
Kang, Sang Hoon
; …
- In:
International review of economics & finance : IREF
92
(
2024
),
pp. 451-469
Persistent link: https://www.econbiz.de/10014534922
Saved in:
608
A reverse ES (CVaR) optimization formula
Guan, Yuanying
;
Jiao, Zhanyi
;
Wang, Ruodu
- In:
North American actuarial journal : NAAJ ; leading the …
28
(
2024
)
3
,
pp. 611-625
Persistent link: https://www.econbiz.de/10015189554
Saved in:
609
Time-varying aggregate tail risk and cross-section of stock returns : Indian evidence
Dixit, Alok
;
Bajpai, Shweta
- In:
Finance research letters
69
(
2024
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10015191606
Saved in:
610
Downside risk reduction using regime-switching signals : a statistical jump model approach
Shu, Yizhan
;
Yu, Chenyu
;
Mulvey, John M.
- In:
The journal of asset management : a major new, …
25
(
2024
)
5
,
pp. 493-507
Persistent link: https://www.econbiz.de/10015192325
Saved in:
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