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Search: subject:"Value-at-risk"
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Risikomaß
7,371
Risk measure
7,345
Theorie
3,585
Theory
3,540
Portfolio-Management
2,684
Portfolio selection
2,666
Risikomanagement
2,251
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2,214
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2,050
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2,048
Messung
1,160
Measurement
1,139
Statistische Verteilung
1,106
Statistical distribution
1,098
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1,090
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1,074
ARCH-Modell
1,010
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1,000
Volatility
960
Volatilität
952
Prognoseverfahren
885
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877
Value-at-Risk
764
Kapitaleinkommen
760
Capital income
758
Value at Risk
658
Kreditrisiko
633
Credit risk
615
Bankrisiko
556
Bank risk
553
Basel Accord
512
Basler Akkord
498
Outliers
487
Ausreißer
485
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483
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479
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466
Finanzkrise
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450
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McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
49
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Righi, Marcelo Brutti
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Brandtner, Mario
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
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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All
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
MPRA Paper
61
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
Insurance: Mathematics and Economics
39
International review of economics & finance : IREF
37
Risks
37
The European journal of finance
37
Tinbergen Institute Discussion Papers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Journal of Risk and Financial Management
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
Journal of economic dynamics & control
32
Working papers
32
Applied economics letters
31
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ECONIS (ZBW)
7,476
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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1
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9,314
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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
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:
6
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:
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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