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  • Search: subject:"Value‐at‐Risk"
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Year of publication
Subject
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Risikomaß 8,297 Risk measure 8,270 Theorie 4,606 Theory 4,561 Portfolio-Management 3,167 Portfolio selection 3,149 Risikomanagement 2,955 Risk management 2,921 Risiko 2,875 Risk 2,874 Messung 1,363 Measurement 1,342 Statistische Verteilung 1,144 ARCH-Modell 1,142 Statistical distribution 1,136 ARCH model 1,132 Volatility 1,044 Schätzung 1,035 Volatilität 1,033 Estimation 1,019 Prognoseverfahren 921 Forecasting model 913 Bankrisiko 897 Bank risk 894 Kapitaleinkommen 850 Capital income 848 Kreditrisiko 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 Multivariate distribution 513
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Online availability
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Free 3,824 Undetermined 3,062 CC license 213
Type of publication
All
Article 6,303 Book / Working Paper 3,968 Other 8 Journal 3
Type of publication (narrower categories)
All
Article in journal 4,956 Aufsatz in Zeitschrift 4,956 Working Paper 1,321 Graue Literatur 1,204 Non-commercial literature 1,204 Arbeitspapier 1,130 Aufsatz im Buch 426 Book section 426 Hochschulschrift 237 Thesis 202 Article 118 Collection of articles of several authors 55 Sammelwerk 55 research-article 40 Collection of articles written by one author 36 Sammlung 36 Dissertation u.a. Prüfungsschriften 28 Conference paper 27 Konferenzbeitrag 27 Aufsatzsammlung 24 Lehrbuch 22 Textbook 20 Bibliografie enthalten 15 Bibliography included 15 Case study 13 Fallstudie 13 Konferenzschrift 11 Handbook 9 Handbuch 9 Conference proceedings 6 review-article 6 Ratgeber 5 Systematic review 5 Übersichtsarbeit 5 Glossar enthalten 4 Glossary included 4 Amtsdruckschrift 3 Bibliografie 3 Conference Paper 3 Congress Report 3
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Language
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English 8,628 Undetermined 1,081 German 483 Spanish 38 French 24 Portuguese 8 Czech 6 Polish 6 Italian 4 Romanian 3 Lithuanian 2 Croatian 1 Indonesian 1 Russian 1 Slovak 1 Slovenian 1 Turkish 1
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Author
All
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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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 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...
All
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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Source
All
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 271 - 280 of 10,282
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Relocatable modular capacities in risk aware strategic supply network planning under demand uncertainty
Kayser, Ariane; Sahling, Florian - In: Schmalenbach journal of business research : SBUR 75 (2023) 1, pp. 1-35
, by incorporating the conditional value at risk (CVaR), the risk induced by uncertain demand is explicitly considered. The …
Persistent link: https://www.econbiz.de/10014325736
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Risk mitigation services in cyber insurance : optimal contract design and price structure
Zeller, Gabriela; Scherer, Matthias - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 502-547
Persistent link: https://www.econbiz.de/10014326502
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Decoupling VaR and regulatory capital : an examination of practitioners' experience of market risk regulation
McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of banking regulation 24 (2023) 3, pp. 321-336
Persistent link: https://www.econbiz.de/10014326959
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Mean-Variance-VaR portfolios : MIQP formulation and performance analysis
Cesarone, Francesco; Martino, Manuel L.; Tardella, Fabio - In: OR spectrum : quantitative approaches in management 45 (2023) 3, pp. 1043-1069
Persistent link: https://www.econbiz.de/10014328733
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Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862
Persistent link: https://www.econbiz.de/10014328991
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Modelling and forecasting risk dependence and portfolio VaR for cryptocurrencies
Cheng, Jie - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 899-924
Persistent link: https://www.econbiz.de/10014329089
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Insights into credit loss rates : a global database
Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023
Persistent link: https://www.econbiz.de/10014329176
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Optimal structure of real estate portfolio using EVA : a stochastic Markowitz model using data from Greek real estate market
Petropoulos, Theofanis; Liapis, Konstantinos; … - In: Risks : open access journal 11 (2023) 2, pp. 1-19
The purpose of this paper is to examine the issue of portfolio optimization. Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the Bank of Greece to calculate the net return and the standard...
Persistent link: https://www.econbiz.de/10014245748
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Towards a more resilient festival industry : an analysis of the adoption of risk management models for sustainability
Lorincz, Katalin; Formadi, Katalin; Ernszt, Ildiko - In: Risks : open access journal 11 (2023) 2, pp. 1-18
The COVID-19 pandemic has had a significant impact on numerous industries, including the event industry, resulting in widespread disruptions. The widespread cancellations of festivals have been a direct consequence of the pandemic, and, following the reopening, those that have taken place have...
Persistent link: https://www.econbiz.de/10014246213
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DeepVaR : a framework for portfolio risk assessment leveraging probabilistic deep neural networks
Fatouros, Georgios; Makridis, Georgios; Kotios, Dimitrios; … - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10014251567
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