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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
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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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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 281 - 290 of 10,282
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The riskiness of stock versus money market investment with stochastic rates
Szabó, Dávid Zoltán; Bihary, Zsolt - In: Central European journal of operations research 31 (2023) 2, pp. 393-415
Persistent link: https://www.econbiz.de/10014251616
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...
Persistent link: https://www.econbiz.de/10014314068
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Pro-cyclicality beyond business cycle
Bräutigam, Marcel; Dacorogna, Michel M.; Kratz, Marie - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 308-341
Persistent link: https://www.econbiz.de/10014278671
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Preference robust distortion risk measure and its application
Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434
Persistent link: https://www.econbiz.de/10014278678
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Framework of CreditMetrics Methodology for Credit VaR
Malhotra, Yogesh - 2023
credit instrument portfolio of Credit obligations such as a portfolio of corporate bonds or swaps, Credit Value-at-Risk (VaR … Hull (2011 and 2012) as ‘a procedure for calculating credit value at risk’, CreditMetrics methodology (RiskMetrics Group … for Journal Publication:Malhotra, Yogesh, CreditMetrics Methodology and Credit Value at Risk (Credit VaR) (February 10 …
Persistent link: https://www.econbiz.de/10014258543
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Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models
Huang, Zhenzhen; Kwok, Yue Kuen; XU, Ziqing - 2023
The numerical calculations of marginal risk contributions associated with the two risk measures, Value-at-Risk and …
Persistent link: https://www.econbiz.de/10014260450
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Non-Crossing Dual Neural Network : Joint Value at Risk and Conditional Tail Expectation Regression with Non-Crossing Conditions
Vidal-Llana, Xenxo; Salort Sánchez, Carlos; Coia, Vincenzo - 2023
been widely used to assess extreme quantile behaviors. Value at Risk (VaR) and Conditional Tail Expectation (CTE) allow the …
Persistent link: https://www.econbiz.de/10014261756
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Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds
Malhotra, Yogesh - 2023
Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the …
Persistent link: https://www.econbiz.de/10014263882
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On dynamic program decompositions of static risk measures
Hau, Jia Lin; Delage, Erick; Ghavamzadeh, Mohammad; … - 2023
Persistent link: https://www.econbiz.de/10014281685
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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/10014284871
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