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  • Search: subject:"Risikomaß"
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Year of publication
Subject
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Risikomaß 4,821 Risk measure 4,697 Theorie 2,500 Theory 2,474 Portfolio-Management 1,589 Portfolio selection 1,576 USA 1,501 United States 1,489 Risikomanagement 1,470 Risk management 1,414 Risiko 856 Risk 853 ARCH-Modell 678 ARCH model 673 Volatilität 644 Volatility 633 Schätzung 585 Estimation 576 Prognoseverfahren 540 Forecasting model 533 Kreditrisiko 530 Credit risk 504 Kapitaleinkommen 408 Capital income 405 Statistische Verteilung 394 Statistical distribution 385 Basler Akkord 364 Basel Accord 358 Messung 332 Bankrisiko 330 Bank risk 325 Measurement 315 Welt 299 Multivariate Verteilung 298 Multivariate distribution 298 World 294 Finanzkrise 286 Financial crisis 284 VAR model 233 VAR-Modell 233
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Online availability
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Free 1,285 Undetermined 1,117
Type of publication
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Article 3,131 Book / Working Paper 1,759 Journal 2
Type of publication (narrower categories)
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Article in journal 2,785 Aufsatz in Zeitschrift 2,785 Graue Literatur 916 Non-commercial literature 916 Working Paper 895 Arbeitspapier 835 Aufsatz im Buch 331 Book section 331 Hochschulschrift 219 Thesis 175 Collection of articles of several authors 48 Sammelwerk 48 Collection of articles written by one author 34 Sammlung 34 Dissertation u.a. Prüfungsschriften 27 Lehrbuch 21 Textbook 21 Conference paper 19 Konferenzbeitrag 19 Aufsatzsammlung 16 Case study 13 Fallstudie 13 Bibliografie enthalten 12 Bibliography included 12 Handbook 9 Handbuch 9 Konferenzschrift 8 Amtsdruckschrift 7 Government document 7 Systematic review 5 Übersichtsarbeit 5 Conference proceedings 4 Glossar enthalten 4 Glossary included 4 Ratgeber 4 Mehrbändiges Werk 3 Multi-volume publication 3 Bibliografie 2 Festschrift 2 Guidebook 2
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Language
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English 4,423 German 424 Spanish 21 French 15 Polish 5 Italian 4 Undetermined 3 Portuguese 2 Czech 1 Croatian 1
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Author
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McAleer, Michael 87 Allen, David E. 38 Härdle, Wolfgang 31 Pérez Amaral, Teodosio 29 Chang, Chia-Lin 25 Hammoudeh, Shawkat 24 Daníelsson, Jón 22 Huschens, Stefan 22 Jiménez-Martín, Juan-Ángel 22 Albrecht, Peter 20 Dowd, Kevin 20 Fabozzi, Frank J. 20 Giot, Pierre 20 Vries, Casper G. de 20 Powell, Robert 18 Wang, Ruodu 17 Račev, Svetlozar T. 16 Caporin, Massimiliano 15 Gouriéroux, Christian 15 Weiß, Gregor 15 Adrian, Tobias 14 Mittnik, Stefan 14 Wied, Dominik 14 Embrechts, Paul 13 Fortin, Ines 13 Janabi, Mazin A. M. al 13 Mensi, Walid 13 Paolella, Marc S. 13 Straßberger, Mario 13 Bali, Turan G. 12 Brandtner, Mario 12 Csóka, Péter 12 Dijk, Herman K. van 12 Engle, Robert F. 12 Hoogerheide, Lennart 12 Ardia, David 11 Dionne, Georges 11 Klüppelberg, Claudia 11 Lucas, André 11 Singh, Abhay Kumar 11
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Institution
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Springer Fachmedien Wiesbaden 8 Institut für Schweizerisches Bankwesen <Zürich> 7 National Bureau of Economic Research 7 Basel Committee on Banking Supervision 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 5 Springer-Verlag GmbH 4 University of Canterbury / Dept. of Economics and Finance 4 Friedrich-Schiller-Universität Jena 3 Pensions Institute 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Universität Mannheim 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Federal Reserve Bank of San Francisco 2 International Center for Financial Asset Management and Engineering 2 National Centre of Competence in Research North South <Bern> 2 Universität Konstanz 2 Verlag Dr. Kovač 2 Banco Central do Brasil 1 Bank-Verlag GmbH 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 Deutsche Bundesbank <Frankfurt, Main> / Volkswirtschaftliche Forschungsgruppe 1 Edward Elgar Publishing 1 Eidgenössische Technische Hochschule Zürich 1 Erasmus Research Institute of Management 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 Fachhochschule <Osnabrück> / Fakultät Wirtschafts- und Sozialwissenschaften 1 Federal Reserve Bank of St. Louis 1 Frankfurt School Verlag GmbH 1 HFDF <2, 1998, Zürich> 1 Harvard Institute for International Development 1 Hochschule für Angewandte Wissenschaften <Amberg 1 Instituto Valenciano de Investigaciones Económicas 1 KPMG 1 Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe> 1 Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre <Eichstätt-Ingolstadt> 1
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Published in...
All
Journal of banking & finance 146 Journal of risk 89 European journal of operational research : EJOR 66 Insurance / Mathematics & economics 65 Economic modelling 55 Risks : open access journal 53 Energy economics 52 Discussion paper / Tinbergen Institute 51 Journal of empirical finance 43 International journal of forecasting 42 The journal of risk model validation 41 The North American journal of economics and finance : a journal of financial economics studies 40 International journal of theoretical and applied finance 38 International review of financial analysis 37 Finance research letters 35 Journal of risk management in financial institutions 35 Applied economics 30 Journal of risk and financial management : JRFM 29 Journal of econometrics 28 SFB 649 discussion paper 28 The journal of operational risk 28 Econometric Institute research papers 27 Journal of financial econometrics : official journal of the Society for Financial Econometrics 26 Working paper 25 Journal of economic dynamics & control 23 The European journal of finance 23 Finance and stochastics 21 International journal of risk assessment and management : IJRAM 21 Journal of forecasting 21 Management science : journal of the Institute for Operations Research and the Management Sciences 21 Research paper series / Swiss Finance Institute 21 The journal of credit risk : published quarterly by Incisive Media 21 The journal of derivatives : the official publication of the International Association of Financial Engineers 20 International review of economics & finance : IREF 19 Quantitative finance 19 The journal of risk and insurance : the journal of the American Risk and Insurance Association 19 Computational economics 18 The VaR implementation handbook 18 Working papers 18 Applied economics letters 17
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Source
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ECONIS (ZBW) 4,735 EconStor 65 USB Cologne (EcoSocSci) 63 USB Cologne (business full texts) 25 OLC EcoSci 3 BASE 1
Showing 1 - 10 of 4,892
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012886096
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South African banks' cross-border systemic risk exposure : an application of the gas copula marginal expected shortfall
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-19
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....
Persistent link: https://www.econbiz.de/10013040986
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
Transitioning to a low-carbon economy involves risks for the value of financial assets, with potential ramifications for financial stability. We quantify the systemic impact on financial firms arising from changes in the value of financial assets under three climate transition scenarios that...
Persistent link: https://www.econbiz.de/10013041402
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Value-at-risk in the presence of asset price bubbles
Kwong, Raymond; Wong, Helen - In: Journal of applied economics 25 (2022) 1, pp. 361-384
In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and...
Persistent link: https://www.econbiz.de/10013176688
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....
Persistent link: https://www.econbiz.de/10012872607
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Group cohesion under individual regulatory constraints
Coculescu, Delia; Delbaen, Freddy - In: Scandinavian actuarial journal 2022 (2022) 1, pp. 80-93
Persistent link: https://www.econbiz.de/10012872649
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Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.; Lai, Catherine C.; Xiao, Ling - In: Applied economics letters 29 (2022) 6, pp. 567-571
Persistent link: https://www.econbiz.de/10012873353
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CVaR prediction model of the investment portfolio based on the convolutional neural network facilitates the risk management of the financial market
Wu, Zheng; Qiao, Yan; Huang, Shuai; Liu, HsienChen - In: Journal of global information management 30 (2022) 7, pp. 1-19
Persistent link: https://www.econbiz.de/10012800070
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
Persistent link: https://www.econbiz.de/10012804913
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Estimation of maximum potential losses for digital banking transaction risks using the extreme value-at-risks method
Saputra, Moch Panji Agung; Sukono; Chaerani, Diah - In: Risks : open access journal 10 (2022) 1, pp. 1-18
The application of industry 4.0 in banking presents many challenges, with several operational risks related to downtime and timeout services due to system failures. One of the operational risk management steps is to estimate the value of the maximum potential losses. The purpose of this study is...
Persistent link: https://www.econbiz.de/10012805367
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