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  • Search: subject:"Value-at-Risk"
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Year of publication
Subject
All
Risikomaß 8,582 Risk measure 8,554 Theorie 4,762 Theory 4,717 Portfolio-Management 3,280 Portfolio selection 3,262 Risikomanagement 3,069 Risk management 3,034 Risiko 3,005 Risk 3,004 Messung 1,408 Measurement 1,387 Statistische Verteilung 1,186 ARCH-Modell 1,185 Statistical distribution 1,178 ARCH model 1,174 Volatility 1,096 Volatilität 1,085 Schätzung 1,075 Estimation 1,059 Prognoseverfahren 959 Forecasting model 951 Bankrisiko 927 Bank risk 924 Kapitaleinkommen 889 Capital income 887 Kreditrisiko 868 Credit risk 850 Value-at-Risk 809 Schätztheorie 710 Estimation theory 706 Value at Risk 671 Basel Accord 617 Basler Akkord 603 Outliers 572 Ausreißer 569 Financial crisis 567 Finanzkrise 559 Multivariate Verteilung 526 Multivariate distribution 526
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Online availability
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Free 3,997 Undetermined 3,228 CC license 255
Type of publication
All
Article 6,545 Book / Working Paper 4,022 Other 8 Journal 3
Type of publication (narrower categories)
All
Article in journal 5,171 Aufsatz in Zeitschrift 5,171 Working Paper 1,363 Graue Literatur 1,246 Non-commercial literature 1,246 Arbeitspapier 1,169 Aufsatz im Buch 433 Book section 433 Hochschulschrift 238 Thesis 202 Article 126 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 26 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 8,922 Undetermined 1,079 German 485 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 73 Allen, David E. 62 Wang, Ruodu 60 Chang, Chia-Lin 49 Daníelsson, Jón 44 Fabozzi, Frank J. 44 Vries, Casper G. de 43 Jiménez-Martín, Juan-Ángel 39 Lucas, André 37 Mittnik, Stefan 36 Pérez Amaral, Teodosio 36 Stoja, Evarist 36 Righi, Marcelo Brutti 35 Hammoudeh, Shawkat 34 Paolella, Marc S. 34 Dowd, Kevin 32 Vanduffel, Steven 32 Powell, Robert 31 Gerlach, Richard 30 Račev, Svetlozar T. 28 Rosazza Gianin, Emanuela 28 Schienle, Melanie 28 Al Janabi, Mazin A. M. 27 Embrechts, Paul 27 Pérez-Amaral, Teodosio 27 Caporin, Massimiliano 26 Hoogerheide, Lennart 26 Albrecht, Peter 25 Ardia, David 25 Härdle, Wolfgang Karl 25 Polanski, Arnold 25 Rüschendorf, Ludger 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 Risks : open access journal 143 European journal of operational research : EJOR 137 Journal of risk 125 Finance research letters 116 International review of financial analysis 76 Energy economics 72 Economic modelling 71 The journal of risk model validation 69 Quantitative finance 68 Discussion paper / Tinbergen Institute 64 The journal of operational risk 64 Applied economics 61 MPRA Paper 61 International journal of forecasting 59 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 Computational economics 51 Journal of risk management in financial institutions 50 Journal of econometrics 49 International review of economics & finance : IREF 46 Scandinavian actuarial journal 45 The European journal of finance 42 Research in international business and finance 41 Management science : journal of the Institute for Operations Research and the Management Sciences 40 Insurance: Mathematics and Economics 39 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 38 Operations research 38 Working paper 38 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Risks 37 Tinbergen Institute Discussion Papers 37 Journal of economic dynamics & control 36 Research paper series / Swiss Finance Institute 36 Journal of Risk and Financial Management 34
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Source
All
ECONIS (ZBW) 8,669 RePEc 1,331 EconStor 331 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 Other ZBW resources 52 BASE 51
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Showing 1 - 10 of 10,578
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Model averaging and grid maps for modeling heavy-tailed insurance data
Mothibe, Lira B.; Shongwe, Sandile C. - In: Risks : open access journal 14 (2026) 1, pp. 1-30
grid maps simultaneously plot information criteria against risk measures, specifically the Value-at-Risk (VaR) and Tail … Value-at-Risk (TVaR) at 95% and 99% thresholds, to highlight critical-fit versus tail-risk trade-offs. It is observed that …
Persistent link: https://www.econbiz.de/10015611274
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Assessing the impact of fiscal incentives on the investment feasibility of geothermal projects in Indonesia : a value-at-risk approach
Susmanto, Andi; Hidayatno, Akhmad; Setiawan, Andri Dwi; … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 788-808
Persistent link: https://www.econbiz.de/10015620426
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A VaR-based price-based unit commitment framework for generation asset valuation under electricity price risk
Chen, Shih-Ying; Lin, Kuen-Lin; Tsai, Ming-Tang - In: Risks : open access journal 14 (2026) 2, pp. 1-18
-aware framework for generation asset valuation by embedding Value-at-Risk (VaR) into a Price-Based Unit Commitment (PBUC) model. VaR …
Persistent link: https://www.econbiz.de/10015614368
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A hierarchical signal-to-policy learning framework for risk-aware portfolio optimization
Yu, Jiayang; Chang, Kuo-Chu - In: International Journal of Financial Studies : open … 14 (2026) 3, pp. 1-41
This study proposes a hierarchical signal-to-policy learning framework for risk-aware portfolio optimization that integrates model-based return forecasting, explainable machine learning, and deep reinforcement learning (DRL) within a unified architecture. In the first stage, next-period returns...
Persistent link: https://www.econbiz.de/10015644313
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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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Geopolitical shocks and crude oil market tail risk : evidence from the Russia-Ukraine conflict
Basdekis, Charalampos Vasilios; Christopoulos, Apostolos G. - In: Economies : open access journal 14 (2026) 3, pp. 1-15
Value at Risk (CAViaR) framework. We analyzed 2364 daily observations of West Texas Intermediate (WTI) crude oil futures … variables. Methodologically, we implement a two-step approach. First, we estimate 1-day Value at Risk (VaR) at the 5% and 1 …
Persistent link: https://www.econbiz.de/10015628732
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Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR
Folprecht, Marek - 2026
Persistent link: https://www.econbiz.de/10015609159
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Forecasting value at risk and expected shortfall in equity markets of high-income and Latin American countries
Liza, Fiorela; Rodriguez, Gabriel; Arellano Ataurima, Miguel - 2026
Persistent link: https://www.econbiz.de/10015638652
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Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory
Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026
Persistent link: https://www.econbiz.de/10015625395
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Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members
Li, Shujie - 2026
Persistent link: https://www.econbiz.de/10015627081
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