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Search: subject:"Value at Risk"
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Risikomaß
7,333
Risk measure
7,333
Theorie
3,540
Theory
3,540
Portfolio selection
2,656
Portfolio-Management
2,656
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2,196
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2,158
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2,038
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2,037
Messung
1,153
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1,139
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1,098
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1,098
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1,073
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1,072
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1,000
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1,000
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932
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931
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877
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877
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758
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758
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598
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592
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553
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553
Basel Accord
492
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492
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487
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485
Estimation theory
479
Schätztheorie
479
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456
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456
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McAleer, Michael
94
Wang, Ruodu
44
Allen, David E.
43
Härdle, Wolfgang
39
Stoja, Evarist
37
Pérez Amaral, Teodosio
32
Fabozzi, Frank J.
31
Hammoudeh, Shawkat
29
Daníelsson, Jón
28
Dowd, Kevin
28
Polanski, Arnold
27
Vanduffel, Steven
27
Vries, Casper G. de
27
Chang, Chia-Lin
26
Powell, Robert
24
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Huschens, Stefan
22
Jiménez-Martín, Juan-Ángel
22
Račev, Svetlozar T.
22
Righi, Marcelo Brutti
22
Rüschendorf, Ludger
22
Caporin, Massimiliano
21
Dhaene, Jan
20
Giot, Pierre
20
Paolella, Marc S.
20
Wied, Dominik
20
Brandtner, Mario
19
Stoyanov, Stoyan V.
19
Albrecht, Peter
18
Bernard, Carole
18
Dionne, Georges
18
Lucas, André
17
Mao, Tiantian
17
Tsanakas, Andreas
17
Boonen, Tim J.
16
Cai, Jun
16
Cheung, Ka Chun
16
Gouriéroux, Christian
16
Kratz, Marie
16
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National Bureau of Economic Research
13
Springer Fachmedien Wiesbaden
7
Basel Committee on Banking Supervision
6
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
5
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
University of Canterbury / Dept. of Economics and Finance
4
Friedrich-Schiller-Universität Jena
3
Pensions Institute
3
Springer-Verlag GmbH
3
Universität Mannheim
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
Federal Reserve Bank of San Francisco
2
Instituto Valenciano de Investigaciones Económicas
2
International Center for Financial Asset Management and Engineering
2
Oesterreichische Nationalbank
2
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Universität Konstanz
2
Verlag Dr. Kovač
2
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1
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1
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1
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1
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1
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1
Conference on Asset-Liability Management with Ultra-Low Interest Rates <2015, Wien>
1
Edward Elgar Publishing
1
Eidgenössische Technische Hochschule Zürich
1
Escola de Pós-Graduação em Economia <Rio de Janeiro>
1
Europäische Zentralbank / Group on TARGET2 Stress Testing
1
Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
1
Federal Reserve Bank of St. Louis
1
Frankfurt School Verlag GmbH
1
Gottfried Wilhelm Leibniz Universität Hannover
1
HFDF <2, 1998, Zürich>
1
Harvard Institute for International Development
1
International Monetary Fund
1
International Risk Management Conference <5, 2012, Rom>
1
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Insurance / Mathematics & economics
219
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
113
Risks : open access journal
106
Finance research letters
91
Energy economics
71
Economic modelling
70
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
68
Discussion paper / Tinbergen Institute
64
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
International journal of theoretical and applied finance
46
The journal of operational risk
45
Journal of forecasting
43
Journal of econometrics
42
Computational economics
39
International review of economics & finance : IREF
37
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of international financial markets, institutions & money
33
Scandinavian actuarial journal
33
Journal of economic dynamics & control
32
Working papers
32
Applied economics letters
31
Econometric Institute research papers
30
Finance and stochastics
30
Pacific-Basin finance journal
30
Management science : journal of the Institute for Operations Research and the Management Sciences
29
Operations research letters
28
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28
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ECONIS (ZBW)
RePEc
1,331
EconStor
310
USB Cologne (business full texts)
83
USB Cologne (EcoSocSci)
61
BASE
50
Other ZBW resources
3
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Date (oldest first)
1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Dynamic robust portfolio selection under market distress
Jiang, Yifu
;
Olmo, Jose
;
Atwi, Majed
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10014445636
Saved in:
3
Value-at-Risk
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
4
Multivariate spectral backtests of forecast distributions under unknown dependencies
Balter, Janine
;
McNeil, Alexander J.
- In:
Risks : open access journal
12
(
2024
)
1
,
pp. 1-15
-desk
value-at-risk
(VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …
Persistent link: https://www.econbiz.de/10014480976
Saved in:
5
Assessing financial stability in turbulent times : a study of generalized autoregressive conditional heteroskedasticity-type
Value-at-Risk
model performance in Thailand's transport...
Danai Likitratcharoen
;
Lucksuda Suwannamalik
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-19
The
Value-at-Risk
(VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of …
Persistent link: https://www.econbiz.de/10014497424
Saved in:
6
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
7
Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit
Xiong, Qian
;
Peng, Zuoxiang
;
Nadarajah, Saralees
- In:
Risks : open access journal
11
(
2023
)
7
,
pp. 1-26
Optimal reinsurance problems under the risk measures, such as
Value-at-Risk
(VaR) and Tail-
Value-at-Risk
(TVaR), have …
Persistent link: https://www.econbiz.de/10014340271
Saved in:
8
Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages
Di Lorenzo, Emilia
;
Piscopo, Gabriella
;
Sibillo, Marilena
- In:
Computational management science
21
(
2024
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014442633
Saved in:
9
First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel
;
Nicolau, João
;
Rodrigues, Paulo M. M.
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
Saved in:
10
Value-at-Risk
effectiveness : a high-frequency data approach with semi-heavy tails
Contreras-Valdez, Mario Ivan
;
Sahu, Sonal
; …
- In:
Risks : open access journal
12
(
2024
)
3
,
pp. 1-23
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10014497426
Saved in:
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