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Search: subject:"Value‐at‐Risk"
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Risikomaß
8,297
Risk measure
8,270
Theorie
4,606
Theory
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Portfolio-Management
3,167
Portfolio selection
3,149
Risikomanagement
2,955
Risk management
2,921
Risiko
2,875
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2,874
Messung
1,363
Measurement
1,342
Statistische Verteilung
1,144
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1,142
Statistical distribution
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Volatility
1,044
Schätzung
1,035
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1,033
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1,019
Prognoseverfahren
921
Forecasting model
913
Bankrisiko
897
Bank risk
894
Kapitaleinkommen
850
Capital income
848
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838
Credit risk
820
Value-at-Risk
794
Schätztheorie
686
Estimation theory
682
Value at Risk
663
Basel Accord
597
Basler Akkord
583
Outliers
550
Ausreißer
547
Financial crisis
543
Finanzkrise
535
Multivariate Verteilung
513
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513
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Author
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McAleer, Michael
192
Härdle, Wolfgang
72
Allen, David E.
61
Wang, Ruodu
58
Chang, Chia-Lin
49
Daníelsson, Jón
44
Fabozzi, Frank J.
44
Vries, Casper G. de
43
Jiménez-Martín, Juan-Ángel
39
Lucas, André
36
Mittnik, Stefan
36
Pérez Amaral, Teodosio
36
Stoja, Evarist
35
Hammoudeh, Shawkat
34
Paolella, Marc S.
34
Righi, Marcelo Brutti
33
Dowd, Kevin
32
Powell, Robert
31
Vanduffel, Steven
30
Gerlach, Richard
29
Rosazza Gianin, Emanuela
28
Al Janabi, Mazin A. M.
27
Embrechts, Paul
27
Pérez-Amaral, Teodosio
27
Račev, Svetlozar T.
27
Schienle, Melanie
27
Caporin, Massimiliano
26
Hoogerheide, Lennart
26
Rüschendorf, Ludger
26
Albrecht, Peter
25
Ardia, David
25
Härdle, Wolfgang Karl
25
Cheung, Ka Chun
24
Dhaene, Jan
24
Giot, Pierre
24
Huschens, Stefan
24
Polanski, Arnold
24
Stoyanov, Stoyan V.
24
Wied, Dominik
24
Hautsch, Nikolaus
23
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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
23
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
21
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
20
EconWPA
17
Institut für Schweizerisches Bankwesen <Zürich>
17
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
16
Department of Economics and Finance, College of Business and Economics
16
Institute of Economic Research, Kyoto University
13
Erasmus University Rotterdam, Econometric Institute
12
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
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
National Centre of Competence in Research North South <Bern>
9
European Central Bank
8
Henley Business School, University of Reading
8
Université Paris-Dauphine (Paris IX)
8
C.E.P.R. Discussion Papers
7
Geary Institute, University College Dublin
7
Society for Computational Economics - SCE
7
Springer Fachmedien Wiesbaden
7
Basel Committee on Banking Supervision
6
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
Sveriges Riksbank
6
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
Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
5
School of Business, Edith Cowan University
5
Suomen Pankki
5
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Published in...
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Insurance / Mathematics & economics
254
Journal of banking & finance
183
European journal of operational research : EJOR
131
Journal of risk
125
Risks : open access journal
122
Finance research letters
110
International review of financial analysis
72
Economic modelling
69
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
64
Energy economics
63
MPRA Paper
61
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
54
Journal of empirical finance
52
Journal of forecasting
52
Journal of risk management in financial institutions
50
Journal of econometrics
47
Computational economics
44
Scandinavian actuarial journal
42
The European journal of finance
42
Insurance: Mathematics and Economics
39
International review of economics & finance : IREF
39
Research in international business and finance
39
Working paper
38
Finance and stochastics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
Risks
37
Tinbergen Institute Discussion Papers
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 Risk and Financial Management
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Operations research
34
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ECONIS (ZBW)
8,382
RePEc
1,331
EconStor
320
USB Cologne (business full texts)
83
USB Cologne (EcoSocSci)
61
Other ZBW resources
54
BASE
51
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Showing
191
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200
of
10,282
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date (oldest first)
191
Density and Risk Prediction with Non-Gaussian COMFORT Models
Paolella, Marc S.
;
Polak, Pawel
-
2022
. An extensive empirical study confirms the COMFORT model’s superiority in terms of multivariate density and
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10014236254
Saved in:
192
Sharp probability tail estimates for portfolio credit risk
Collamore, Jeffrey F.
;
Silva, Hasitha de
;
Vidyashankar, …
- In:
Risks : open access journal
10
(
2022
)
12
,
pp. 1-20
also discuss estimates for
Value-at-Risk
, and observe that our results may be extended to cases where the number of factors …
Persistent link: https://www.econbiz.de/10014230963
Saved in:
193
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 …
Persistent link: https://www.econbiz.de/10012804913
Saved in:
194
Forecasting
Value-at-Risk
in turbulent stock markets via the local regularity of the price process
Frezza, Massimiliano
;
Bianchi, Sergio
;
Pianese, Augusto
- In:
Computational management science
19
(
2022
)
1
,
pp. 99-132
Persistent link: https://www.econbiz.de/10012817299
Saved in:
195
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
-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were
Value-at-Risk
at a 95 …% confidence level, and
Value-at-Risk
at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …
Persistent link: https://www.econbiz.de/10012872607
Saved in:
196
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
Saved in:
197
Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue
;
Sit, Tony
;
Wong, Hoi Ying
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
Saved in:
198
GARCH-UGH : a bias-reduced approach for dynamic extreme
Value-at-Risk
estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
199
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
200
Multi-variate risk measures under Wasserstein barycenter
Arias-Serna, M. Andrea
;
Loubes, Jean Michel
; …
- In:
Risks : open access journal
10
(
2022
)
9
,
pp. 1-15
case. In such cases, the Wasserstein barycenter
Value-at-Risk
belongs to the same family, thus it is characterized just by …
Persistent link: https://www.econbiz.de/10013368725
Saved in:
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