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  • Search: subject:"Conditional value-at-risk"
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Year of publication
Subject
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Risikomaß 8,531 Risk measure 8,530 Theorie 4,670 Theory 4,670 Portfolio selection 3,235 Portfolio-Management 3,230 Risikomanagement 2,981 Risiko 2,980 Risk 2,978 Risk management 2,955 Messung 1,393 Measurement 1,379 Statistical distribution 1,172 Statistische Verteilung 1,172 ARCH model 1,167 ARCH-Modell 1,167 Volatilität 1,052 Volatility 1,050 Estimation 1,043 Schätzung 1,042 Forecasting model 939 Prognoseverfahren 939 Bank risk 907 Bankrisiko 907 Capital income 875 Kapitaleinkommen 875 Credit risk 827 Kreditrisiko 825 Estimation theory 701 Schätztheorie 701 Basel Accord 589 Basler Akkord 589 Outliers 570 Ausreißer 567 Financial crisis 550 Finanzkrise 550 Multivariate Verteilung 525 Multivariate distribution 525 VAR model 514 VAR-Modell 514
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Online availability
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Free 2,910 Undetermined 2,749 CC license 247
Type of publication
All
Article 5,742 Book / Working Paper 2,964 Journal 2
Type of publication (narrower categories)
All
Article in journal 5,108 Aufsatz in Zeitschrift 5,108 Graue Literatur 1,216 Non-commercial literature 1,216 Working Paper 1,148 Arbeitspapier 1,145 Aufsatz im Buch 432 Book section 432 Hochschulschrift 219 Thesis 163 Collection of articles of several authors 52 Sammelwerk 52 Collection of articles written by one author 36 Sammlung 36 Conference paper 27 Konferenzbeitrag 27 Aufsatzsammlung 23 Lehrbuch 22 Article 21 Textbook 20 Case study 13 Fallstudie 13 Bibliografie enthalten 10 Bibliography included 10 Konferenzschrift 10 Handbook 9 Handbuch 9 Systematic review 6 Übersichtsarbeit 6 Conference proceedings 5 Ratgeber 5 Glossar enthalten 4 Glossary included 4 Amtsdruckschrift 3 Bibliografie 3 Congress Report 3 Forschungsbericht 3 Government document 3 research-article 3 Festschrift 2
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Language
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English 8,169 German 374 Undetermined 117 Spanish 21 French 18 Polish 6 Italian 4 Portuguese 2 Czech 1 Croatian 1
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Author
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McAleer, Michael 97 Härdle, Wolfgang 54 Wang, Ruodu 54 Allen, David E. 46 Fabozzi, Frank J. 41 Pérez Amaral, Teodosio 36 Righi, Marcelo Brutti 33 Vanduffel, Steven 32 Vries, Casper G. de 32 Daníelsson, Jón 31 Powell, Robert 31 Stoja, Evarist 30 Račev, Svetlozar T. 28 Rosazza Gianin, Emanuela 28 Lucas, André 27 Al Janabi, Mazin A. M. 26 Dowd, Kevin 26 Chang, Chia-Lin 24 Stoyanov, Stoyan V. 24 Hammoudeh, Shawkat 23 Paolella, Marc S. 23 Boonen, Tim J. 22 Brandtner, Mario 22 Embrechts, Paul 22 Jiménez-Martín, Juan-Ángel 22 Rüschendorf, Ludger 22 Bernard, Carole 21 Caporin, Massimiliano 21 Cheung, Ka Chun 21 Dhaene, Jan 21 Tsanakas, Andreas 21 Uryasev, Stan 21 Chen Zhou 20 Giot, Pierre 20 Huschens, Stefan 20 Weiß, Gregor 20 Wied, Dominik 20 Albrecht, Peter 19 Cai, Jun 19 Dionne, Georges 19
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Institution
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National Bureau of Economic Research 11 Springer Fachmedien Wiesbaden 7 Basel Committee on Banking Supervision 6 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 European Central Bank 5 School of Business, Edith Cowan University 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 University of Canterbury / Dept. of Economics and Finance 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Friedrich-Schiller-Universität Jena 3 Pensions Institute 3 Springer-Verlag GmbH 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Universität Mannheim 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Erasmus University Rotterdam, Econometric Institute 2 Federal Reserve Bank of San Francisco 2 Geary Institute, University College Dublin 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 International Center for Financial Asset Management and Engineering 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Verlag Dr. Kovač 2 Agricultural and Applied Economics Association - AAEA 1 Australian Agricultural and Resource Economics Society - AARES 1 Banco Central do Brasil 1 Bank für Internationalen Zahlungsausgleich 1 Bank-Verlag GmbH 1 Bergische Universität Wuppertal 1 Berliner Wissenschafts-Verlag 1 Books on Demand GmbH <Norderstedt> 1 Boston College / Department of Economics 1 Center for Economic Research <Tilburg> 1 Christian-Albrechts-Universität zu Kiel 1 Columbia University / Graduate School of Business 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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Published in...
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Insurance 252 Journal of banking & finance 183 Risks : open access journal 142 European journal of operational research : EJOR 135 Journal of risk 125 Finance research letters 116 International review of financial analysis 75 Energy economics 72 Economic modelling 70 The journal of risk model validation 69 Quantitative finance 68 The journal of operational risk 64 Discussion paper / Tinbergen Institute 62 Applied economics 61 International journal of forecasting 59 International journal of theoretical and applied finance 56 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 Computational economics 51 Journal of forecasting 51 Journal of risk management in financial institutions 50 Journal of econometrics 49 International review of economics & finance : IREF 46 Scandinavian actuarial journal 44 The European journal of finance 42 Research in international business and finance 41 Management science : journal of the Institute for Operations Research and the Management Sciences 40 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 38 Operations research 38 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Working paper 37 Journal of economic dynamics & control 36 Research paper series / Swiss Finance Institute 36 Applied economics letters 33 Journal of financial econometrics 33 Mathematics and financial economics 33 Operations research letters 33 SFB 649 discussion paper 33
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Source
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ECONIS (ZBW) 8,545 RePEc 126 EconStor 26 BASE 7 Other ZBW resources 4
Showing 1 - 10 of 8,708
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Central bank announcements and monitoring portfolio risks
Bui, Huynh Tuan Duy; Herwartz, Helmut; Wang, Shu - In: International review of economics & finance : IREF 103 (2025), pp. 1-24
Persistent link: https://www.econbiz.de/10015482544
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Quantifying systemic risk in cryptocurrency markets : a high-frequency approach
Franco, João Pedro M.; Laurini, Márcio Poletti - In: International review of economics & finance : IREF 102 (2025), pp. 1-23
Persistent link: https://www.econbiz.de/10015463018
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Hedging political risk in international portfolios
Lotfi, Somayyeh; Pagliardi, Giovanni; Paparoditis, … - In: European journal of operational research : EJOR 322 (2025) 2, pp. 629-646
Persistent link: https://www.econbiz.de/10015412068
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Comparing the systemic risk of Italian insurers and banks
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408590
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Smart home economic operation under uncertainty : comparing Monte Carlo and stochastic optimization using Gaussian and KDE-based data
Giannelos, Spyros; Pudjianto, Danny; Strbac, Goran - In: Operations research perspectives 15 (2025), pp. 1-11
This paper investigates optimal day-ahead operation of a building-scale energy hub equipped with photovoltaics and a battery. Electricity demand and PV availability are uncertain and are represented in two ways: (i) thin-tailed normal distributions and (ii) kernel density estimation (KDE) fitted...
Persistent link: https://www.econbiz.de/10015606581
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Extreme conditional tail risk inference in ARMA-GARCH models
Ma, Yaolan; Wei, Bo - In: Journal of economic dynamics & control 177 (2025), pp. 1-22
Persistent link: https://www.econbiz.de/10015556648
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Smart tangency portfolio : deep reinforcement learning for dynamic rebalancing and risk-return trade-off
Yu, Jiayang; Chang, Kuo-Chu - In: International Journal of Financial Studies : open … 13 (2025) 4, pp. 1-35
This paper proposes a dynamic portfolio allocation framework that integrates deep reinforcement learning (DRL) with classical portfolio optimization to enhance rebalancing strategies and risk-return management. Within a unified reinforcement-learning environment for portfolio reallocation, we...
Persistent link: https://www.econbiz.de/10015590750
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Assessing the impact of fiscal incentives on the investment feasibility of geothermal projects in Indonesia : a value-at-risk approach
Susmanto, Andi; Hidayatno, Akhmad; Setiawan, Andri Dwi; … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 788-808
Persistent link: https://www.econbiz.de/10015620426
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Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory
Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026
Persistent link: https://www.econbiz.de/10015625395
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Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members
Li, Shujie - 2026
Persistent link: https://www.econbiz.de/10015627081
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