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  • Search: subject:"Value‐at‐Risk"
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Year of publication
Subject
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Risikomaß 2,722 Risk measure 2,692 Theorie 1,596 Theory 1,551 Portfolio-Management 1,013 Portfolio selection 987 Risk 956 Risiko 953 Risikomanagement 879 Risk management 868 Messung 476 Measurement 473 Value-at-Risk 425 Statistische Verteilung 399 Schätzung 397 Statistical distribution 391 Prognoseverfahren 380 Estimation 379 Forecasting model 372 ARCH-Modell 345 Volatility 343 Volatilität 336 ARCH model 335 Value at Risk 328 Kapitaleinkommen 301 Capital income 299 Bankrisiko 270 Bank risk 267 Kreditrisiko 261 Credit risk 254 Schätztheorie 242 Estimation theory 238 value-at-risk 218 VAR-Modell 207 Basel Accord 206 VAR model 206 Basler Akkord 199 Finanzkrise 190 Financial crisis 189 Zeitreihenanalyse 183
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Online availability
All
Free 3,835 CC license 216
Type of publication
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Book / Working Paper 2,975 Article 851 Other 8 Journal 1
Type of publication (narrower categories)
All
Working Paper 1,091 Graue Literatur 916 Non-commercial literature 916 Arbeitspapier 900 Article in journal 575 Aufsatz in Zeitschrift 575 Article 118 Hochschulschrift 67 Thesis 58 Collection of articles written by one author 11 Sammlung 11 Collection of articles of several authors 9 Sammelwerk 9 Aufsatzsammlung 6 Conference paper 4 Konferenzbeitrag 4 Conference Paper 3 Congress Report 3 Konferenzschrift 3 Research Report 3 Forschungsbericht 2 Report 2 Amtliche Publikation 1 Aufsatz im Buch 1 Book section 1 Conference proceedings 1 Glossar enthalten 1 Glossary included 1 Lehrbuch 1 Mehrbändiges Werk 1 Multi-volume publication 1 Systematic review 1 Textbook 1 Übersichtsarbeit 1
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Language
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English 3,239 Undetermined 486 German 57 Spanish 20 French 10 Portuguese 6 Czech 5 Romanian 3 Lithuanian 2 Polish 2 Indonesian 1 Italian 1 Russian 1 Slovak 1 Slovenian 1 Turkish 1
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Author
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McAleer, Michael 144 Allen, David E. 45 Härdle, Wolfgang 40 Chang, Chia-Lin 39 Jiménez-Martín, Juan-Ángel 29 Lucas, André 29 Pérez Amaral, Teodosio 28 Vries, Casper G. de 26 Härdle, Wolfgang Karl 24 Mittnik, Stefan 24 Wang, Ruodu 24 Powell, Robert 21 Hoogerheide, Lennart 20 Kratz, Marie 20 Schienle, Melanie 20 Pérez-Amaral, Teodosio 19 Guegan, Dominique 18 Stoja, Evarist 18 Vanduffel, Steven 18 Zhang, Xin 18 Dijk, Herman K. van 17 Hautsch, Nikolaus 17 Paolella, Marc S. 17 Albrecht, Peter 16 Scharth, Marcel 16 Schaumburg, Julia 16 Caporin, Massimiliano 15 Chen Zhou 15 Daníelsson, Jón 15 Dionne, Georges 15 Gürtler, Marc 15 Roszbach, Kasper 15 Zikovic, Sasa 15 Cotter, John 14 Einmahl, John H. J. 14 Fabozzi, Frank J. 14 Wang, Weining 14 Ardia, David 13 Chlebus, Marcin 13 Dhaene, Jan 13
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 61 HAL 38 Tinbergen Instituut 26 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 22 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 21 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 20 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 16 Institute of Economic Research, Kyoto University 13 Erasmus University Rotterdam, Econometric Institute 12 National Bureau of Economic Research 11 Tinbergen Institute 11 Business School, University of Sydney 10 Center for Financial Studies 10 London School of Economics (LSE) 9 European Central Bank 8 Geary Institute, University College Dublin 7 Henley Business School, University of Reading 7 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 6 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 6 Department of Econometrics and Business Statistics, Monash Business School 6 Deutsche Bundesbank 6 Frankfurt School of Finance and Management 6 Université Paris-Dauphine (Paris IX) 6 Basel Committee on Banking Supervision 5 CESifo 5 Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig 5 Faculty of Economics, University of Cambridge 5 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 5 Suomen Pankki 5 Sveriges Riksbank 5 Departamento de Estadistica, Universidad Carlos III de Madrid 4 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 4 Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales) 4 Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Agricultural and Applied Economics Association - AAEA 3 Banca d'Italia 3 Bank for International Settlements (BIS) 3 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 3 Center for Operations Research and Econometrics <Louvain-la-Neuve> 3
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Published in...
All
Risks : open access journal 115 MPRA Paper 61 Discussion paper / Tinbergen Institute 59 Journal of risk and financial management : JRFM 54 Risks 37 Tinbergen Institute Discussion Papers 37 Journal of Risk and Financial Management 34 Tinbergen Institute Discussion Paper 34 SFB 649 discussion paper 32 Econometric Institute research papers 31 Working paper 30 SFB 649 Discussion Paper 28 Working papers 27 Research paper series / Swiss Finance Institute 24 Documentos de Trabajo del ICAE 22 SFB 649 Discussion Papers 21 Econometric Institute Research Papers 20 Post-Print / HAL 20 International journal of economics and financial issues : IJEFI 18 Working Papers / HAL 18 CORE Discussion Papers 17 Finance and economics discussion series 17 Financial innovation : FIN 15 CFS working paper series 14 IMF working papers 14 Discussion paper / Center for Economic Research, Tilburg University 13 KIER Working Papers 13 Swiss Finance Institute Research Paper 13 Working papers / TSE : WP 13 CESifo Working Paper Series 12 CFS Working Paper Series 12 CORE discussion papers : DP 12 Cogent economics & finance 12 Discussion paper 12 Econometric Institute Report 12 School of Accounting, Finance and Economics & FEMARC working paper series 12 CESifo working papers 11 Cahiers de recherche 11 Frankfurt School - Working Paper Series 11 NBER working paper series 11
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Source
All
ECONIS (ZBW) 2,719 RePEc 717 EconStor 320 BASE 42 USB Cologne (business full texts) 36 Other ZBW resources 1
Showing 1 - 10 of 3,835
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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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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - 2025
. In addition, out-of-sample forecasts indicate that regime-switching GARCH models have superior Value-at-Risk (VaR …
Persistent link: https://www.econbiz.de/10015358886
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Copula-based risk aggregation and the significance of reinsurance
Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...
Persistent link: https://www.econbiz.de/10015358934
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When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - 2025
Persistent link: https://www.econbiz.de/10015339158
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Portfolio margining using PCA latent factors
Du, Shengwu; Nesmith, Travis D. - 2025
Persistent link: https://www.econbiz.de/10015406665
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Market risk of securities held by Italian banks and insurance companies
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408587
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052590
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Expected shortfall regression for high-dimensional additive models
Honda, Toshio; Peng, Po-Hsiang - 2025
Persistent link: https://www.econbiz.de/10015196326
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Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025
Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …
Persistent link: https://www.econbiz.de/10015324099
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