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~subject:"Multivariate Verteilung"
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Search: subject:"Value at Risk"
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Subject
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Multivariate Verteilung
Risikomaß
7,518
Risk measure
7,491
Theorie
3,645
Theory
3,600
Portfolio-Management
2,750
Portfolio selection
2,732
Risikomanagement
2,298
Risk management
2,271
Risk
2,105
Risiko
2,100
Messung
1,181
Measurement
1,160
Statistische Verteilung
1,130
Schätzung
1,122
Statistical distribution
1,122
Estimation
1,106
ARCH-Modell
1,039
ARCH model
1,029
Volatility
990
Volatilität
980
Prognoseverfahren
926
Forecasting model
918
Value-at-Risk
782
Kapitaleinkommen
775
Capital income
773
Value at Risk
659
Kreditrisiko
639
Credit risk
621
Bankrisiko
569
Bank risk
566
Basel Accord
520
Basler Akkord
506
Outliers
497
Ausreißer
495
Schätztheorie
491
Estimation theory
487
Financial crisis
482
Finanzkrise
473
Multivariate distribution
460
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Undetermined
224
Free
135
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Article
351
Book / Working Paper
109
Type of publication (narrower categories)
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Article in journal
333
Aufsatz in Zeitschrift
333
Graue Literatur
54
Non-commercial literature
54
Arbeitspapier
49
Working Paper
49
Aufsatz im Buch
16
Book section
16
Hochschulschrift
15
Thesis
10
Conference paper
3
Konferenzbeitrag
3
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1
Bibliografie enthalten
1
Bibliography included
1
Collection of articles of several authors
1
Collection of articles written by one author
1
Lehrbuch
1
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1
Sammlung
1
Textbook
1
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English
453
German
7
Author
All
Härdle, Wolfgang
8
Ji, Qiang
8
Okhrin, Ostap
8
Tiwari, Aviral Kumar
8
Hammoudeh, Shawkat
7
Shahzad, Syed Jawad Hussain
7
Tian, Maoxi
7
Giacomini, Enzo
6
Valdesogo, Alfonso
6
Weiß, Gregor
6
Berger, Theo
5
Bormann, Carsten
5
Ghorbel, Ahmed
5
Heinen, Andréas
5
Karmakar, Madhusudan
5
Mensi, Walid
5
Reboredo, Juan Carlos
5
Schienle, Melanie
5
Braun, Valentin
4
Fantazzini, Dean
4
Huggenberger, Markus
4
Lee, Seung-Hwan
4
Liu, Bing-Yue
4
Manner, Hans
4
Muteba Mwamba, John
4
Righi, Marcelo Brutti
4
Sahamkhadam, Maziar
4
Shim, Jeungbo
4
Trück, Stefan
4
Weigert, Florian
4
Al-Yahyaee, Khamis Hamed
3
Allen, David E.
3
Alshater, Muneer Maher
3
Belkacem, Lotfi
3
Bouri, Elie
3
Chabi-Yo, Fousseni
3
Chollete, Lorán
3
Czado, Claudia
3
De Luca, Giovanni
3
Embrechts, Paul
3
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Institution
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Bergische Universität Wuppertal
1
Published in...
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Insurance / Mathematics & economics
22
Energy economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
12
Journal of banking & finance
11
Risks : open access journal
11
Economic modelling
10
Journal of risk and financial management : JRFM
10
SFB 649 discussion paper
10
International review of financial analysis
9
Journal of risk
7
Computational economics
6
Finance research letters
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
European journal of operational research : EJOR
5
Pacific-Basin finance journal
5
Quantitative finance
5
The European journal of finance
5
International Journal of Financial Studies : open access journal
4
International journal of forecasting
4
International review of economics & finance : IREF
4
Journal of international financial markets, institutions & money
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Agricultural finance review
3
Applied economics letters
3
Economics letters
3
Financial innovation : FIN
3
Journal of empirical finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Journal of mathematical finance
3
Quantitative finance and economics
3
Reihe Quantitative Ökonomie : Ökon
3
Review of quantitative finance and accounting
3
Risk management : a journal of risk, crisis and disaster
3
Astin bulletin : the journal of the International Actuarial Association
2
CORE discussion paper : DP
2
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
2
Computers & operations research : and their applications to problems of world concern ; an international journal
2
Discussion paper
2
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ECONIS (ZBW)
460
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1
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460
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1
Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.
;
Ponrajah, Jeremey
-
2024
Persistent link: https://www.econbiz.de/10015052590
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
Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach
Mba, Jules Clement
- In:
Financial innovation : FIN
10
(
2024
),
pp. 1-36
This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional
Value-at-Risk
(CoVaR …
Persistent link: https://www.econbiz.de/10014532413
Saved in:
4
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
5
On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao
;
Cheung, Ka Chun
;
Yam, Sheung Chi Phillip
; …
- In:
Risks : open access journal
11
(
2023
)
8
,
pp. 1-22
three maximum domains of attraction. We show that
Value-at-Risk
(V@R) under extreme-value copulas is asymptotically …
Persistent link: https://www.econbiz.de/10014370410
Saved in:
6
Remarks on a copula-based conditional
value
at
risk
for the portfolio problem
Molina Barreto, Andres Mauricio
;
Ishimura, Naoyuki
- In:
Intelligent systems in accounting, finance & management
30
(
2023
)
3
,
pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
Saved in:
7
Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
Saved in:
8
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
9
Modeling the optimal combination of proportional and stop-loss reinsurance with dependent claim and stochastic insurance premium
Sari, Suci Fratma
;
Hakim, Arief
;
Magdalena, Ikha
; …
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
2
,
pp. 1-20
premium, we use the minimization of the
Value-at-Risk
(VaR) of the insurer’s net cost. When determining the optimal proportion …
Persistent link: https://www.econbiz.de/10014305958
Saved in:
10
Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence
Said, Khalil
;
El Qalli, Yassine
;
Fadlallah, Abdellali
- In:
Cogent business & management
10
(
2023
)
3
,
pp. 1-19
banks. We utilize indicators derived from Tail
Value
at
Risk
and expectiles risk measures, as introduced by El qalli and …
Persistent link: https://www.econbiz.de/10014505870
Saved in:
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