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Year of publication
Subject
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Risikomaß 6,767 Risk measure 6,741 Theorie 3,305 Theory 3,260 Portfolio-Management 2,456 Portfolio selection 2,438 Risikomanagement 2,056 Risk management 2,022 Risk 1,821 Risiko 1,818 Messung 1,049 Measurement 1,030 Statistische Verteilung 976 Statistical distribution 968 Schätzung 951 Estimation 934 ARCH-Modell 904 ARCH model 894 Volatility 848 Volatilität 842 Prognoseverfahren 782 Forecasting model 774 Value-at-Risk 747 Kapitaleinkommen 673 Capital income 671 Value at Risk 644 Kreditrisiko 597 Credit risk 579 Bankrisiko 504 Bank risk 501 Basel Accord 475 Basler Akkord 461 Outliers 443 Ausreißer 441 Schätztheorie 435 Estimation theory 431 Financial crisis 409 Finanzkrise 403 Multivariate Verteilung 395 Multivariate distribution 395
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Online availability
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Free 3,208 Undetermined 2,406
Type of publication
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Article 5,235 Book / Working Paper 3,456 Other 8 Journal 1
Type of publication (narrower categories)
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Article in journal 4,028 Aufsatz in Zeitschrift 4,028 Working Paper 1,187 Graue Literatur 1,081 Non-commercial literature 1,081 Arbeitspapier 999 Aufsatz im Buch 391 Book section 391 Hochschulschrift 230 Thesis 200 Article 101 Collection of articles of several authors 55 Sammelwerk 55 Collection of articles written by one author 37 Sammlung 37 Dissertation u.a. Prüfungsschriften 28 Conference paper 23 Konferenzbeitrag 23 Lehrbuch 22 Aufsatzsammlung 21 Textbook 20 Bibliografie enthalten 15 Bibliography included 15 Case study 13 Fallstudie 13 Konferenzschrift 10 Handbook 9 Handbuch 9 Amtsdruckschrift 8 Government document 8 Conference proceedings 6 Systematic review 5 Übersichtsarbeit 5 Glossar enthalten 4 Glossary included 4 Ratgeber 4 Bibliografie 3 Conference Paper 3 Congress Report 3 Forschungsbericht 3
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Language
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English 7,068 Undetermined 1,079 German 468 Spanish 34 French 23 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 191 Allen, David E. 59 Härdle, Wolfgang 56 Chang, Chia-Lin 51 Wang, Ruodu 46 Daníelsson, Jón 41 Hammoudeh, Shawkat 40 Jiménez-Martín, Juan-Ángel 39 Vries, Casper G. de 38 Fabozzi, Frank J. 37 Stoja, Evarist 37 Mittnik, Stefan 34 Dowd, Kevin 33 Pérez Amaral, Teodosio 32 Polanski, Arnold 30 Paolella, Marc S. 29 Powell, Robert 28 Embrechts, Paul 27 Gerlach, Richard 27 Lucas, André 27 Pérez-Amaral, Teodosio 27 Caporin, Massimiliano 26 Vanduffel, Steven 26 Härdle, Wolfgang Karl 25 Rüschendorf, Ludger 25 Schienle, Melanie 25 Albrecht, Peter 24 Giot, Pierre 24 Hoogerheide, Lennart 24 Huschens, Stefan 24 Rosazza Gianin, Emanuela 24 Schaumburg, Julia 24 Ardia, David 23 Hautsch, Nikolaus 23 Dhaene, Jan 22 Račev, Svetlozar T. 22 Stoyanov, Stoyan V. 22 Brandtner, Mario 21 Broll, Udo 21 Gouriéroux, Christian 21
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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 National Bureau of Economic Research 13 Erasmus University Rotterdam, Econometric Institute 12 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 12 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 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 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 5
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Published in...
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Insurance / Mathematics & economics 213 Journal of banking & finance 178 Journal of risk 115 European journal of operational research : EJOR 100 Risks : open access journal 86 Finance research letters 65 Discussion paper / Tinbergen Institute 64 Energy economics 64 Economic modelling 62 MPRA Paper 61 International review of financial analysis 60 The North American journal of economics and finance : a journal of financial economics studies 60 Applied economics 50 Journal of risk and financial management : JRFM 50 The journal of risk model validation 50 Journal of empirical finance 49 International journal of forecasting 48 International journal of theoretical and applied finance 46 Quantitative finance 45 Journal of risk management in financial institutions 41 The journal of operational risk 40 Insurance: Mathematics and Economics 39 Journal of econometrics 38 Risks 37 Tinbergen Institute Discussion Papers 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 36 The European journal of finance 36 Journal of forecasting 35 Research paper series / Swiss Finance Institute 34 SFB 649 discussion paper 34 Tinbergen Institute Discussion Paper 34 Computational economics 33 International review of economics & finance : IREF 31 Working Paper 31 Econometric Institute research papers 30 Finance and stochastics 30 Journal of economic dynamics & control 30 Research in international business and finance 30 Journal of Risk and Financial Management 29 SFB 649 Discussion Paper 29
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Source
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ECONIS (ZBW) 6,875 RePEc 1,331 EconStor 297 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 BASE 50 Other ZBW resources 3
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Showing 1 - 10 of 8,700
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Multi-Variate risk measures under Wasserstein Barycenter
Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15
case. In such cases, the Wasserstein barycenter Value-at-Risk belongs to the same family, thus it is characterized just by …
Persistent link: https://www.econbiz.de/10013555458
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Uncertainty and risk in the cryptocurrency market
Almeida, Dora; Dionísio, Andreia Teixeira Marques; … - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …
Persistent link: https://www.econbiz.de/10013475240
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Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence
Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18
both as a single issue and at a portfolio level using the Value-at-risk approach. Sixteen samples with historical …
Persistent link: https://www.econbiz.de/10013359115
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On dynamic program decompositions of static risk measures
Jia Lin Hau; Delage, Erick; Ghavamzadeh, Mohammad; … - 2023
Persistent link: https://www.econbiz.de/10014281685
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Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13
loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …
Persistent link: https://www.econbiz.de/10012800645
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and …
Persistent link: https://www.econbiz.de/10012804913
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012886096
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
-Factor and Fama-French Five-Factor Models. The most significant predictors of green equity returns were Value-at-Risk at a 95 …% confidence level, and Value-at-Risk at a 99% confidence level. Expected Shortfall was another extreme risk value measure. The …
Persistent link: https://www.econbiz.de/10012872607
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Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.; Lai, Catherine C.; Xiao, Ling - In: Applied economics letters 29 (2022) 6, pp. 567-571
Persistent link: https://www.econbiz.de/10012873353
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Measurement of systemic risk in the Colombian banking sector
Rivera-Escobar, Orlando; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-27
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK....
Persistent link: https://www.econbiz.de/10012805886
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