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Search: subject:"Value-at-Risk (VaR)"
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Risikomaß
154
Risk measure
150
Risk management
97
Risikomanagement
96
Value-at-Risk (VaR)
84
Theorie
78
Theory
77
Portfolio-Management
66
Portfolio selection
65
ARCH-Modell
64
value-at-risk (VaR)
64
ARCH model
63
Risk
54
Risiko
52
VAR model
46
VAR-Modell
46
Estimation
40
Schätzung
40
Volatility
33
daily capital charges
33
optimizing strategy
33
violation penalties
33
Prognoseverfahren
29
Value at Risk (VaR)
29
Volatilität
29
Estimation theory
27
Forecasting model
27
Schätztheorie
27
Basel Accord
25
Statistical distribution
24
Statistische Verteilung
24
value at risk (VaR)
24
Basler Akkord
22
Basel II Accord
21
Capital income
21
Kapitaleinkommen
21
Bank risk
20
Bankrisiko
20
Finanzkrise
20
Financial crisis
18
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Undetermined
120
Free
107
CC license
10
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Article
188
Book / Working Paper
80
Other
1
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Article in journal
143
Aufsatz in Zeitschrift
143
Working Paper
17
Article
10
Arbeitspapier
7
Graue Literatur
7
Non-commercial literature
7
research-article
5
Thesis
2
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English
189
Undetermined
71
Spanish
3
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2
French
1
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1
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1
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1
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Author
All
McAleer, Michael
47
Pérez-Amaral, Teodosio
19
Jiménez-Martín, Juan-Ángel
17
Jimenez-Martin, Juan-Angel
12
Pérez Amaral, Teodosio
7
Gürtler, Marc
6
Jimenez-Martin, Jimenez-Martin, J-A.
6
Jimenez-Martin, Juan Angel Jimenez Martin
6
Lucas, André
6
Perez-Amaral, Perez-Amaral, T.
6
Rauh, Ronald
6
Santos, Paulo Araújo
6
Zhang, Xin
6
Amaral, Teodosio Pérez
4
Chang, Chia-Lin
4
Joëts, Marc
4
Mitic, Peter
4
Pinelis, Iosif
4
Shareef, Riaz
4
Westgaard, Sjur
4
Agnihotri, Shalini
3
Frydenberg, Stein
3
Kim, Young Shin
3
Köksal, Bülent
3
McAleer, M.J.
3
Orhan, Mehmet
3
Perez-Amaral, Teodosio
3
Rutkowski, Marek
3
Sinha, Pankaj
3
Tarca, Silvio
3
Veiga, Bernardo da
3
Abad, Pilar
2
Adenomon, Monday Osagie
2
Amaral, Teodosio Perez
2
Ampountolas, Apostolos
2
Anderson, Hamish D.
2
Araújo, André da Silva de
2
Benito, Sonia
2
Bentley, Mark
2
Bianchi, Michele Leonardo
2
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
7
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
7
Institute of Economic Research, Kyoto University
6
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
6
Department of Economics and Finance, College of Business and Economics
5
Tinbergen Instituut
4
Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
3
Erasmus University Rotterdam, Econometric Institute
3
Institut de Préparation à l'Administration et à la Gestion (IPAG)
3
Business School, University of Sydney
2
Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology
1
Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials
1
Departamento de Economía Aplicada, Facultade de Ciencias Económicas e Empresariais
1
Departamento de Economía, Pontificia Universidad Católica del Perú
1
Departamento de Gestão e Economia, Universidade da Beira Interior
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie
1
Fondazione ENI Enrico Mattei (FEEM)
1
HAL
1
Henley Business School, University of Reading
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
School of Business, Edith Cowan University
1
Swiss Finance Institute
1
Tinbergen Institute
1
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Published in...
All
Journal of risk
25
The journal of risk model validation
17
The journal of operational risk
13
Documentos de Trabajo del ICAE
7
Econometric Institute Research Papers
7
KIER Working Papers
6
MPRA Paper
6
Insurance
5
Risks : open access journal
5
Tinbergen Institute Discussion Papers
5
Working Papers in Economics
5
Discussion paper / Tinbergen Institute
4
Economic research
4
Journal of risk : JOR
4
Risks
4
Tinbergen Institute Discussion Paper
4
Computational economics
3
Econometric Institute Report
3
Finance research letters
3
Journal of Financial Regulation and Compliance
3
The empirical economics letters : a monthly international journal of economics
3
Working Paper Series
3
Working Papers / Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
3
Working Papers / Institut de Préparation à l'Administration et à la Gestion (IPAG)
3
Contemporary Economics
2
Contemporary economics
2
Econometric Institute research papers
2
Economic modelling
2
Economies : open access journal
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
2
Financial innovation : FIN
2
Journal of Economics and Business
2
Managerial Finance
2
Quantitative finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
The journal of financial market infrastructures
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
Working Papers / Business School, University of Sydney
2
AStA Advances in Statistical Analysis
1
Amfiteatru Economic Journal
1
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Source
All
ECONIS (ZBW)
152
RePEc
89
EconStor
20
Other ZBW resources
5
BASE
3
Showing
1
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269
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1
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
Saved in:
2
Correlation breakdowns, spread positions and central counterparty margin models
Li, David
;
Cerezetti, Fernando
;
Cheruvelil, Roy
- In:
The journal of financial market infrastructures
11
(
2024
)
3
,
pp. 19-40
Persistent link: https://www.econbiz.de/10015441864
Saved in:
3
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
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
Saved in:
4
Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
5
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
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/10014332800
Saved in:
6
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:
7
Survival analysis for credit risk : a dynamic approach for Basel IRB compliance
Dala, Fernando L.
;
Esquível, Manuel L.
;
Gaspar, Raquel M.
- In:
Risks : open access journal
13
(
2025
)
8
,
pp. 1-22
's loss process, we show how to empirically estimate key risk measures-such as
Value
at
Risk
(
VaR
) and Expected Shortfall (ES …
Persistent link: https://www.econbiz.de/10015448887
Saved in:
8
Hybrid GARCH-LSTM forecasting for foreign exchange risk
Nsengiyumva, Elysee
;
Mung'atu, Joseph K.
;
Ruranga, Charles
- In:
FinTech
4
(
2025
)
2
,
pp. 1-17
Heteroskedasticity (GARCH) model with a Long Short-Term Memory (LSTM) neural network to estimate
Value
at
Risk
(
VaR
) in the Rwandan …
Persistent link: https://www.econbiz.de/10015432831
Saved in:
9
Financial technology (Fintech) and sustainable financing : special Issue reprint
Colombage, Sisira
(
ed.
)
-
2025
-
3rd edition
Persistent link: https://www.econbiz.de/10015609784
Saved in:
10
Overcoming issues with time-scaling value-at-risk
Maga, Anastasia
;
Dryver, Arthur Lance
- In:
The journal of risk model validation
19
(
2025
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10015459752
Saved in:
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