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Search: subject:"Value‐at‐Risk"
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Risikomaß
8,300
Risk measure
8,273
Theorie
4,608
Theory
4,563
Portfolio-Management
3,169
Portfolio selection
3,151
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
1,143
Statistical distribution
1,136
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1,133
Volatility
1,045
Schätzung
1,035
Volatilität
1,034
Estimation
1,019
Prognoseverfahren
922
Forecasting model
914
Bankrisiko
897
Bank risk
894
Kapitaleinkommen
851
Capital income
849
Kreditrisiko
838
Credit risk
820
Value-at-Risk
794
Schätztheorie
686
Estimation theory
682
Value at Risk
664
Basel Accord
597
Basler Akkord
583
Outliers
551
Ausreißer
548
Financial crisis
543
Finanzkrise
535
Multivariate Verteilung
513
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513
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214
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8
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3
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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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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
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ECONIS (ZBW)
8,386
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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621
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630
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10,286
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date (oldest first)
621
Applying quantum mechanics for extreme value prediction of VaR and ES in the ASEAN stock exchange
Chukiat Chaiboonsri
;
Satawat Wannapan
- In:
Economies : open access journal
9
(
2021
)
1/13
,
pp. 1-14
financial data has become more desirable, especially in cases of
Value
at
Risk
(VaR) and Expected Shortfall (ES) predictions …
Persistent link: https://www.econbiz.de/10012483260
Saved in:
622
Diversification can control probability of default or risk, but not both
Cadenas, Pedro
;
Gzyl, Henryk
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
2/73
,
pp. 1-10
default decreases, but the risk, measured by the
value
at
risk
(a non-coherent risk measure) increases. This brings up an …
Persistent link: https://www.econbiz.de/10012484095
Saved in:
623
Delta-Normal
value
at
risk
using exponential duration with convexity for measuring government bond risk
Maruddani, Di Asih I
;
Abdurakhman Abdurakhman
- In:
DLSU business & economics review
31
(
2021
)
1
,
pp. 72-80
Persistent link: https://www.econbiz.de/10013472258
Saved in:
624
Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab
;
Chandrashekhar, G. R.
; …
- In:
Cogent economics & finance
9
(
2021
)
1
,
pp. 1-24
sustain the rise of financial markets. Thereafter, this review identified the
value
at
risk
(VaR) and VaR-based alternative …
Persistent link: https://www.econbiz.de/10013183970
Saved in:
625
Market risk analysis of energy in vietnam
Ngoc Phu Tran
;
Thang Cong Nguyen
;
Duc Hong Vo
;
McAleer, …
- In:
Risks : open access journal
7
(
2019
)
4/112
,
pp. 1-13
empirical analysis, namely
Value-at-Risk
(VaR) and Conditional
Value-at-Risk
(CVaR). The empirical findings indicate that Energy …
Persistent link: https://www.econbiz.de/10012127865
Saved in:
626
A reverse ES (CVaR) optimization formula
Guan, Yuanying
;
Jiao, Zhanyi
;
Wang, Ruodu
- In:
North American actuarial journal : NAAJ ; leading the …
28
(
2024
)
3
,
pp. 611-625
Persistent link: https://www.econbiz.de/10015189554
Saved in:
627
Time-varying aggregate tail risk and cross-section of stock returns : Indian evidence
Dixit, Alok
;
Bajpai, Shweta
- In:
Finance research letters
69
(
2024
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10015191606
Saved in:
628
Downside risk reduction using regime-switching signals : a statistical jump model approach
Shu, Yizhan
;
Yu, Chenyu
;
Mulvey, John M.
- In:
The journal of asset management : a major new, …
25
(
2024
)
5
,
pp. 493-507
Persistent link: https://www.econbiz.de/10015192325
Saved in:
629
Tail recovery
Xu, Teng Andrea
- In:
The journal of financial data science
6
(
2024
)
3
,
pp. 115-146
Persistent link: https://www.econbiz.de/10015195623
Saved in:
630
Systemic risk measures : taking stock from 1927 to 2023
Acharya, Viral V.
;
Brunnermeier, Markus Konrad
; …
-
2024
Persistent link: https://www.econbiz.de/10015195806
Saved in:
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