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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
ARCH model
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
Multivariate distribution
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
All
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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791
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791
Sensitivity measures based on scoring functions
Fissler, Tobias
;
Pesenti, Silvana M.
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1408-1423
Persistent link: https://www.econbiz.de/10014282998
Saved in:
792
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
793
Estimating
Value-at-Risk
and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz
;
Khan, Mrestyal
;
Irfan, Muhammad
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
2
,
pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
Saved in:
794
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
795
A closed-form solution for the stochastic volatility model with applications on international stock markets
Shi, Yanlin
- In:
Journal of the Operational Research Society
74
(
2023
)
4
,
pp. 1183-1197
Persistent link: https://www.econbiz.de/10014334888
Saved in:
796
Classical and quantum computing methods for estimating loan-level risk distributions
Breeden, Joseph L.
;
Leonova, Yevgeniya
- In:
Journal of the Operational Research Society
74
(
2023
)
7
,
pp. 1800-1814
Persistent link: https://www.econbiz.de/10014336324
Saved in:
797
Model and solution of sustainable bi-level emergency commodity allocation based on type-2 fuzzy theory
Liang, Siqi
;
Xuejie, Bai
;
Li, Yongli
;
Xin, Hening
- In:
Socio-economic planning sciences : the international …
90
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10015071656
Saved in:
798
Improving
value-at-risk
prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
799
Diversification quotients based on VaR and ES
Han, Xia
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 185-197
Persistent link: https://www.econbiz.de/10014466211
Saved in:
800
Integrated stock-bond portfolio management
Pang, Xiaochuan
;
Wu, Shuping
;
Zhu, Shushang
- In:
The journal of investment strategies
12
(
2023
)
3
,
pp. 23-51
Persistent link: https://www.econbiz.de/10014484654
Saved in:
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