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  • Search: subject:"Value-at-risk"
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Year of publication
Subject
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Risikomaß 8,348 Risk measure 8,321 Theorie 4,634 Theory 4,589 Portfolio-Management 3,191 Portfolio selection 3,173 Risikomanagement 2,974 Risk management 2,940 Risiko 2,902 Risk 2,901 Messung 1,375 Measurement 1,354 Statistische Verteilung 1,151 ARCH-Modell 1,146 Statistical distribution 1,143 ARCH model 1,136 Volatility 1,050 Schätzung 1,041 Volatilität 1,039 Estimation 1,025 Prognoseverfahren 926 Forecasting model 918 Bankrisiko 903 Bank risk 900 Kapitaleinkommen 856 Capital income 854 Kreditrisiko 843 Credit risk 825 Value-at-Risk 796 Schätztheorie 689 Estimation theory 685 Value at Risk 666 Basel Accord 598 Basler Akkord 584 Outliers 553 Ausreißer 550 Financial crisis 546 Finanzkrise 538 Multivariate Verteilung 513 Multivariate distribution 513
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Online availability
All
Free 3,853 Undetermined 3,085 CC license 220
Type of publication
All
Article 6,347 Book / Working Paper 3,977 Other 8 Journal 3
Type of publication (narrower categories)
All
Article in journal 4,996 Aufsatz in Zeitschrift 4,996 Working Paper 1,330 Graue Literatur 1,212 Non-commercial literature 1,212 Arbeitspapier 1,139 Aufsatz im Buch 428 Book section 428 Hochschulschrift 237 Thesis 202 Article 119 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 24 Lehrbuch 22 Textbook 20 Bibliografie enthalten 15 Bibliography included 15 Case study 13 Fallstudie 13 Konferenzschrift 11 Handbook 9 Handbuch 9 Conference proceedings 6 review-article 6 Ratgeber 5 Systematic review 5 Übersichtsarbeit 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 8,681 Undetermined 1,081 German 483 Spanish 38 French 24 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 192 Härdle, Wolfgang 72 Allen, David E. 61 Wang, Ruodu 58 Chang, Chia-Lin 49 Daníelsson, Jón 44 Fabozzi, Frank J. 44 Vries, Casper G. de 43 Jiménez-Martín, Juan-Ángel 39 Lucas, André 36 Mittnik, Stefan 36 Pérez Amaral, Teodosio 36 Righi, Marcelo Brutti 35 Stoja, Evarist 35 Hammoudeh, Shawkat 34 Paolella, Marc S. 34 Dowd, Kevin 32 Powell, Robert 31 Vanduffel, Steven 30 Gerlach, Richard 29 Rosazza Gianin, Emanuela 28 Al Janabi, Mazin A. M. 27 Embrechts, Paul 27 Pérez-Amaral, Teodosio 27 Račev, Svetlozar T. 27 Schienle, Melanie 27 Caporin, Massimiliano 26 Hoogerheide, Lennart 26 Rüschendorf, Ludger 26 Albrecht, Peter 25 Ardia, David 25 Härdle, Wolfgang Karl 25 Cheung, Ka Chun 24 Dhaene, Jan 24 Giot, Pierre 24 Huschens, Stefan 24 Polanski, Arnold 24 Stoyanov, Stoyan V. 24 Wied, Dominik 24 Hautsch, Nikolaus 23
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Institution
All
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 / Mathematics & economics 254 Journal of banking & finance 183 European journal of operational research : EJOR 136 Journal of risk 125 Risks : open access journal 123 Finance research letters 114 International review of financial analysis 72 Economic modelling 69 The journal of risk model validation 67 Discussion paper / Tinbergen Institute 64 Energy economics 63 MPRA Paper 61 Quantitative finance 61 The journal of operational risk 60 International journal of theoretical and applied finance 56 Applied economics 55 International journal of forecasting 55 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 52 Journal of risk management in financial institutions 50 Journal of econometrics 47 Computational economics 44 Scandinavian actuarial journal 42 The European journal of finance 42 Insurance: Mathematics and Economics 39 International review of economics & finance : IREF 39 Research in international business and finance 39 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 Management science : journal of the Institute for Operations Research and the Management Sciences 36 Research paper series / Swiss Finance Institute 36 Journal of economic dynamics & control 35 Journal of Risk and Financial Management 34 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 34 Operations research 34
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Source
All
ECONIS (ZBW) 8,434 RePEc 1,331 EconStor 321 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 Other ZBW resources 54 BASE 51
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Showing 1 - 10 of 10,335
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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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Forecasting volatility of the Nordic electricity market an application of the MSGARCH
Naeem, Muhammad; Jassim, Hothefa Shaker; Saleem, Kashif; … - 2025
. In addition, out-of-sample forecasts indicate that regime-switching GARCH models have superior Value-at-Risk (VaR …
Persistent link: https://www.econbiz.de/10015358886
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Copula-based risk aggregation and the significance of reinsurance
Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025
Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...
Persistent link: https://www.econbiz.de/10015358934
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When MIDAS meets LASSO : the power of low-frequency variables in forecasting Value-at-Risk and expected shortfall
Luo, Yi; Xue, Xiaohan; Izzeldin, Marwan - 2025
Persistent link: https://www.econbiz.de/10015339158
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Portfolio margining using PCA latent factors
Du, Shengwu; Nesmith, Travis D. - 2025
Persistent link: https://www.econbiz.de/10015406665
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Hedging political risk in international portfolios
Lotfi, Somayyeh; Pagliardi, Giovanni; Paparoditis, … - In: European journal of operational research : EJOR 322 (2025) 2, pp. 629-646
Persistent link: https://www.econbiz.de/10015412068
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Market risk of securities held by Italian banks and insurance companies
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408587
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Navigating crude oil volatility forecasts : assessing the contribution of geopolitical risk
Delis, Panagiotis; Degiannakis, Stavros; Filis, George - 2025
Persistent link: https://www.econbiz.de/10015422736
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
Persistent link: https://www.econbiz.de/10015052590
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