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  • Search: subject:"Value at Risk"
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Year of publication
Subject
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Risikomaß 8,441 Risk measure 8,413 Theorie 4,680 Theory 4,635 Portfolio-Management 3,228 Portfolio selection 3,210 Risikomanagement 3,012 Risk management 2,978 Risiko 2,945 Risk 2,944 Messung 1,390 Measurement 1,369 ARCH-Modell 1,166 Statistische Verteilung 1,164 Statistical distribution 1,156 ARCH model 1,155 Volatility 1,071 Volatilität 1,060 Schätzung 1,053 Estimation 1,037 Prognoseverfahren 940 Forecasting model 932 Bankrisiko 915 Bank risk 912 Kapitaleinkommen 869 Capital income 867 Kreditrisiko 854 Credit risk 836 Value-at-Risk 801 Schätztheorie 696 Estimation theory 692 Value at Risk 668 Basel Accord 605 Basler Akkord 591 Outliers 559 Ausreißer 556 Financial crisis 553 Finanzkrise 545 Multivariate Verteilung 515 Multivariate distribution 515
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Online availability
All
Free 3,881 Undetermined 3,134 CC license 231
Type of publication
All
Article 6,436 Book / Working Paper 3,989 Other 8 Journal 3
Type of publication (narrower categories)
All
Article in journal 5,068 Aufsatz in Zeitschrift 5,068 Working Paper 1,339 Graue Literatur 1,220 Non-commercial literature 1,220 Arbeitspapier 1,147 Aufsatz im Buch 431 Book section 431 Hochschulschrift 237 Thesis 202 Article 125 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 16 Bibliography included 16 Case study 13 Fallstudie 13 Konferenzschrift 11 Handbook 9 Handbuch 9 Conference proceedings 6 Systematic review 6 review-article 6 Übersichtsarbeit 6 Ratgeber 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 8,780 Undetermined 1,081 German 483 Spanish 38 French 26 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 193 Härdle, Wolfgang 72 Allen, David E. 62 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 36 Righi, Marcelo Brutti 35 Hammoudeh, Shawkat 34 Paolella, Marc S. 34 Dowd, Kevin 32 Powell, Robert 31 Gerlach, Richard 30 Vanduffel, Steven 30 Rosazza Gianin, Emanuela 28 Schienle, Melanie 28 Al Janabi, Mazin A. M. 27 Embrechts, Paul 27 Pérez-Amaral, Teodosio 27 Račev, Svetlozar T. 27 Caporin, Massimiliano 26 Hoogerheide, Lennart 26 Rüschendorf, Ludger 26 Albrecht, Peter 25 Ardia, David 25 Härdle, Wolfgang Karl 25 Polanski, Arnold 25 Cheung, Ka Chun 24 Dhaene, Jan 24 Giot, Pierre 24 Huschens, Stefan 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 254 Journal of banking & finance 183 European journal of operational research : EJOR 137 Risks : open access journal 136 Journal of risk 125 Finance research letters 114 International review of financial analysis 72 Economic modelling 71 The journal of risk model validation 69 Discussion paper / Tinbergen Institute 64 Energy economics 64 The journal of operational risk 64 MPRA Paper 61 Quantitative finance 61 International journal of forecasting 59 Applied economics 57 International journal of theoretical and applied finance 56 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 53 Journal of forecasting 53 Journal of risk management in financial institutions 50 Journal of econometrics 47 International review of economics & finance : IREF 46 Computational economics 44 Scandinavian actuarial journal 42 The European journal of finance 42 Insurance: Mathematics and Economics 39 Research in international business and finance 39 Management science : journal of the Institute for Operations Research and the Management Sciences 38 Working paper 38 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Operations research 37 Risks 37 Tinbergen Institute Discussion Papers 37 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
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Source
All
ECONIS (ZBW) 8,528 RePEc 1,331 EconStor 328 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 Other ZBW resources 54 BASE 51
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Showing 1 - 10 of 10,436
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Copula-based risk aggregation and the significance of reinsurance
Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - In: Risks : open access journal 13 (2025) 3, pp. 1-23
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...
Persistent link: https://www.econbiz.de/10015358934
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Comparing the systemic risk of Italian insurers and banks
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408590
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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - In: Risks : open access journal 13 (2025) 3, pp. 1-19
. In addition, out-of-sample forecasts indicate that regime-switching GARCH models have superior Value-at-Risk (VaR …
Persistent link: https://www.econbiz.de/10015358886
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Navigating crude oil volatility forecasts : assessing the contribution of geopolitical risk
Delis, Panagiotis; Degiannakis, Stavros; Filis, George - 2025
Persistent link: https://www.econbiz.de/10015422736
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Portfolio margining using PCA latent factors
Du, Shengwu; Nesmith, Travis D. - 2025
Persistent link: https://www.econbiz.de/10015406665
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Market risk of securities held by Italian banks and insurance companies
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408587
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Hedging political risk in international portfolios
Lotfi, Somayyeh; Pagliardi, Giovanni; Paparoditis, … - In: European journal of operational research : EJOR 322 (2025) 2, pp. 629-646
Persistent link: https://www.econbiz.de/10015412068
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Survival analysis for credit risk : a dynamic approach for Basel IRB compliance
Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - In: Risks : open access journal 13 (2025) 8, pp. 1-22
's loss process, we show how to empirically estimate key risk measures-such as Value at Risk (VaR) and Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10015448887
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Monte Carlo-based VaR estimation and backtesting under Basel III
Cheng, Yueming - In: Risks : open access journal 13 (2025) 8, pp. 1-17
Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel …
Persistent link: https://www.econbiz.de/10015448974
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When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - In: Journal of financial econometrics 23 (2025) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10015339158
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