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Search: subject:"Value at Risk"
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Risikomaß
7,518
Risk measure
7,491
Theorie
3,645
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3,600
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2,750
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2,732
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2,298
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2,271
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2,105
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2,100
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1,181
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1,160
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1,130
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1,122
Statistical distribution
1,122
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1,106
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1,038
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1,028
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
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566
Basel Accord
520
Basler Akkord
506
Outliers
498
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496
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491
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487
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482
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473
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460
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460
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8
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McAleer, Michael
194
Allen, David E.
59
Härdle, Wolfgang
59
Chang, Chia-Lin
51
Wang, Ruodu
51
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Fabozzi, Frank J.
38
Vries, Casper G. de
38
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Caporin, Massimiliano
28
Gerlach, Richard
28
Lucas, André
28
Powell, Robert
28
Vanduffel, Steven
28
Embrechts, Paul
27
Pérez-Amaral, Teodosio
27
Rüschendorf, Ludger
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
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
Dhaene, Jan
23
Hautsch, Nikolaus
23
Stoyanov, Stoyan V.
23
Brandtner, Mario
22
Broll, Udo
22
Dionne, Georges
22
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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
219
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
117
Finance research letters
116
Risks : open access journal
108
Energy economics
76
International review of financial analysis
75
Economic modelling
72
The North American journal of economics and finance : a journal of financial economics studies
68
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
64
MPRA Paper
61
International journal of forecasting
59
Quantitative finance
57
Journal of empirical finance
56
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of forecasting
44
International review of economics & finance : IREF
42
Journal of econometrics
42
Computational economics
41
Insurance: Mathematics and Economics
39
The European journal of finance
38
Research in international business and finance
37
Risks
37
Tinbergen Institute Discussion Papers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Journal of Risk and Financial Management
34
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Tinbergen Institute Discussion Paper
34
Journal of international financial markets, institutions & money
33
Scandinavian actuarial journal
33
Applied economics letters
32
Working papers
32
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Source
All
ECONIS (ZBW)
7,623
RePEc
1,331
EconStor
312
USB Cologne (business full texts)
83
USB Cologne (EcoSocSci)
61
Other ZBW resources
52
BASE
50
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61
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date (oldest first)
61
Maximum likelihood inference for asymmetric stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-18
illustrates that the proposed method is a quick and accurate alternative for forecasting
value-at-risk
. …
Persistent link: https://www.econbiz.de/10014281498
Saved in:
62
The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-17
financial portfolio returns from 2019 to 2020. Moreover, we used
value-at-risk
(VaR) and
value-at-risk
measurements based on the …
Persistent link: https://www.econbiz.de/10014295230
Saved in:
63
Estimating the
value-at-risk
by temporal VAE
Buch, Robert
;
Grimm, Stefanie
;
Korn, Ralf
;
Richert, Ivo
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-26
Estimation of the
value-at-risk
(VaR) of a large portfolio of assets is an important task for financial institutions …
Persistent link: https://www.econbiz.de/10014303883
Saved in:
64
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
65
Value-at-Risk
, Tail
Value-at-Risk
and upper tail transform of the sum of two counter-monotonic random variables
Hanbali, Hamza
;
Linders, Daniël
;
Dhaene, Jan
- In:
Scandinavian actuarial journal
2023
(
2023
)
3
,
pp. 219-243
Persistent link: https://www.econbiz.de/10014336322
Saved in:
66
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
67
Stochastic equilibria with capacity expansion : Increasing expected profit with risk aversion
Egging-Bratseth, Ruud
;
Siddiqui, Afzal S.
- In:
Decision analytics journal
7
(
2023
),
pp. 1-10
-averse firms monotonically forgo expected profit in exchange for an improved risk measure, e.g., conditional
value-at-risk
(CVaR …
Persistent link: https://www.econbiz.de/10014497210
Saved in:
68
The fundamental review of the trading book : implications for portfolio and risk management in the banking sector
McCullagh, Orla
;
Cummins, Mark
;
Killian, Sheila
- In:
Journal of money, credit and banking : JMCB
55
(
2023
)
7
,
pp. 1785-1816
Persistent link: https://www.econbiz.de/10014436097
Saved in:
69
An AI approach to measuring financial risk
Yu, Lining
;
Härdle, Wolfgang
;
Borke, Lukas
;
Benschop, Thijs
- In:
The Singapore economic review
68
(
2023
)
5
,
pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
Saved in:
70
Stylized facts, volatility dynamics and risk measures of cryptocurrencies
Bruzgė, Rasa
;
Černevičienė, Jurgita
; …
- In:
Journal of business economics and management
24
(
2023
)
3
,
pp. 527-550
. Sensitivity analysis and measures of
Value-at-Risk
(VaR) and Expected Shortfall (ES) show the amount of losses investors can …
Persistent link: https://www.econbiz.de/10014420375
Saved in:
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