Search Results - subject:"Quantitative Risk Management"

Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur

Knobloch, Ralf - 2024

Unternehmen sehen sich üblicherweise den unterschiedlichsten operativen und strategischen Risiken ausgesetzt. Daher ist das Risikoportfolio eines Unternehmens aus Sicht des betriebswirtschaftlichen Risikomanagement i.d.R. sehr inhomogen bezüglich der verwendeten Verteilungsmodelle. Neben der...

Persistent link: https://www.econbiz.de/10014483918

Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur

Knobloch, Ralf - 2024

Persistent link: https://www.econbiz.de/10014480944

Assessing ChatGPT's proficiency in quantitative risk management

Hofert, Marius - In: Risks : open access journal 11 (2023) 9, pp. 1-29

can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … risk management (e.g., using ChatGPT as an educational tool to test one's own understanding of an already grasped concept …

Persistent link: https://www.econbiz.de/10014375303

Risk measures and dependence modeling

Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025

Persistent link: https://www.econbiz.de/10015394058

Risk quantification and validation for green energy markets : new insight from a credibility theory approach

Syuhada, Khreshna; Hakim, Arief - In: Finance research letters 62 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014530904

A deep learning model for gas storage optimization

Curin, Nicolas; Kettler, Michael; Kleisinger-Yu, Xi; … - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1021-1037

Persistent link: https://www.econbiz.de/10012795104

Markov Chain Monte Carlo methods for estimating systemic risk allocations

Koike, Takaaki; Hofert, Marius - In: Risks 8 (2020) 1, pp. 1-33

In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...

Persistent link: https://www.econbiz.de/10013200542

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

Persistent link: https://www.econbiz.de/10012204312

Dynamic adaptive mixture models with an application to volatility and risk

Catania, Leopoldo - In: Journal of financial econometrics 19 (2021) 4, pp. 531-564

Persistent link: https://www.econbiz.de/10012654970

Evolution of multivariate copulas in continuous and discrete processes

Yoshizawa, Yasukazu; Ishimura, Naoyuki - In: Intelligent systems in accounting finance and … 25 (2018) 1, pp. 44-59

Persistent link: https://www.econbiz.de/10011890511