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  • Search: subject:"conditional Value at Risk"
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Year of publication
Subject
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Risikomaß 8,259 Risk measure 8,258 Theorie 4,524 Theory 4,524 Portfolio selection 3,131 Portfolio-Management 3,126 Risikomanagement 2,872 Risiko 2,853 Risk 2,851 Risk management 2,846 Messung 1,351 Measurement 1,337 Statistical distribution 1,134 Statistische Verteilung 1,134 ARCH model 1,126 ARCH-Modell 1,126 Estimation 1,005 Schätzung 1,004 Volatilität 1,002 Volatility 1,000 Forecasting model 903 Prognoseverfahren 903 Bank risk 877 Bankrisiko 877 Capital income 841 Kapitaleinkommen 841 Credit risk 798 Kreditrisiko 796 Estimation theory 677 Schätztheorie 677 Basel Accord 570 Basler Akkord 570 Outliers 550 Ausreißer 547 Financial crisis 527 Finanzkrise 527 Multivariate Verteilung 513 Multivariate distribution 513 VAR model 484 VAR-Modell 484
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Online availability
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Free 2,747 Undetermined 2,589 CC license 211
Type of publication
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Article 5,516 Book / Working Paper 2,917 Journal 2
Type of publication (narrower categories)
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Article in journal 4,902 Aufsatz in Zeitschrift 4,902 Graue Literatur 1,178 Non-commercial literature 1,178 Working Paper 1,113 Arbeitspapier 1,110 Aufsatz im Buch 425 Book section 425 Hochschulschrift 218 Thesis 163 Collection of articles of several authors 52 Sammelwerk 52 Collection of articles written by one author 36 Sammlung 36 Conference paper 27 Konferenzbeitrag 27 Lehrbuch 22 Article 21 Aufsatzsammlung 21 Textbook 20 Case study 13 Fallstudie 13 Konferenzschrift 10 Bibliografie enthalten 9 Bibliography included 9 Handbook 9 Handbuch 9 Conference proceedings 5 Ratgeber 5 Systematic review 5 Übersichtsarbeit 5 Glossar enthalten 4 Glossary included 4 Amtsdruckschrift 3 Bibliografie 3 Congress Report 3 Forschungsbericht 3 Government document 3 research-article 3 Festschrift 2
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Language
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English 7,899 German 373 Undetermined 117 Spanish 21 French 16 Polish 6 Italian 4 Portuguese 2 Czech 1 Croatian 1
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Author
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McAleer, Michael 96 Härdle, Wolfgang 53 Wang, Ruodu 52 Allen, David E. 45 Fabozzi, Frank J. 41 Pérez Amaral, Teodosio 36 Vries, Casper G. de 32 Daníelsson, Jón 31 Powell, Robert 31 Righi, Marcelo Brutti 31 Vanduffel, Steven 30 Stoja, Evarist 29 Rosazza Gianin, Emanuela 28 Račev, Svetlozar T. 27 Al Janabi, Mazin A. M. 26 Dowd, Kevin 26 Lucas, André 26 Chang, Chia-Lin 24 Stoyanov, Stoyan V. 24 Hammoudeh, Shawkat 23 Paolella, Marc S. 23 Brandtner, Mario 22 Embrechts, Paul 22 Jiménez-Martín, Juan-Ángel 22 Rüschendorf, Ludger 22 Caporin, Massimiliano 21 Cheung, Ka Chun 21 Dhaene, Jan 21 Uryasev, Stan 21 Boonen, Tim J. 20 Chen Zhou 20 Giot, Pierre 20 Huschens, Stefan 20 Tsanakas, Andreas 20 Weiß, Gregor 20 Wied, Dominik 20 Albrecht, Peter 19 Bernard, Carole 19 Dionne, Georges 19 Munari, Cosimo-Andrea 19
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Institution
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National Bureau of Economic Research 11 Springer Fachmedien Wiesbaden 7 Basel Committee on Banking Supervision 6 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 European Central Bank 5 School of Business, Edith Cowan University 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 University of Canterbury / Dept. of Economics and Finance 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 Friedrich-Schiller-Universität Jena 3 Pensions Institute 3 Springer-Verlag GmbH 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Universität Mannheim 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Erasmus University Rotterdam, Econometric Institute 2 Federal Reserve Bank of San Francisco 2 Geary Institute, University College Dublin 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 International Center for Financial Asset Management and Engineering 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Verlag Dr. Kovač 2 Agricultural and Applied Economics Association - AAEA 1 Australian Agricultural and Resource Economics Society - AARES 1 Banco Central do Brasil 1 Bank für Internationalen Zahlungsausgleich 1 Bank-Verlag GmbH 1 Bergische Universität Wuppertal 1 Berliner Wissenschafts-Verlag 1 Books on Demand GmbH <Norderstedt> 1 Boston College / Department of Economics 1 Center for Economic Research <Tilburg> 1 Christian-Albrechts-Universität zu Kiel 1 Columbia University / Graduate School of Business 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, Iowa State University 1 Department of Economics, Tufts University 1
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Published in...
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Insurance / Mathematics & economics 252 Journal of banking & finance 183 European journal of operational research : EJOR 130 Journal of risk 125 Risks : open access journal 122 Finance research letters 110 International review of financial analysis 72 Economic modelling 68 The journal of risk model validation 67 Energy economics 63 Discussion paper / Tinbergen Institute 62 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 53 Journal of empirical finance 51 Journal of forecasting 50 Journal of risk management in financial institutions 50 Journal of econometrics 47 Computational economics 44 The European journal of finance 42 Scandinavian actuarial journal 41 International review of economics & finance : IREF 39 Research in international business and finance 39 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Working paper 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 business & economic statistics : JBES ; a publication of the American Statistical Association 34 Operations research 34 Applied economics letters 33 Operations research letters 33 SFB 649 discussion paper 33 Econometric Institute research papers 31 Mathematics and financial economics 31
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Source
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ECONIS (ZBW) 8,272 RePEc 126 EconStor 26 BASE 7 Other ZBW resources 4
Showing 41 - 50 of 8,435
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From credit spread of CoCo bonds to franchise value
Chen, Jiacheng; Farkas, Walter - 2024
Persistent link: https://www.econbiz.de/10015192730
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Neural networks and ARMA-GARCH models for foreign exchange risk measurement and assessment
Nsengiyumva, Elysee; Mung'atu, Joseph K.; Kayijuka, Idrissa - In: Cogent economics & finance 12 (2024) 1, pp. 1-15
Market turnover levels and liquidity changes across various territories significantly influence currency prices, leading to continuous fluctuations. Consequently, traders and investors constantly seek strategies to mitigate exchange rate risks. This study aimed to measure and assess foreign...
Persistent link: https://www.econbiz.de/10015193557
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Connection between higher order measures of risk and stochastic dominance
Pichler, Alois - In: Computational management science 21 (2024) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10015195788
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Internal governance risk management methodology
European Central Bank - 2024
The following sections provide a more detailed description of the methodology for assessing the internal governance and risk management (IGRM) of significant institutions as part of the Supervisory Review and Evaluation Process (SREP).
Persistent link: https://www.econbiz.de/10015322260
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Market risk SREP methodology
European Central Bank - 2024
Persistent link: https://www.econbiz.de/10015322343
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Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios
Xue, Jianhao; Dai, Xingyu; Zhang, Dongna; Nghiem, Xuan-Hoa - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10015323526
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Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures
Paquin, Jean-Paul; Racicot, François-Éric; Koplyay, Tamas - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-27
This paper proposes two metrics to correctly measure under optimal capital structures the impact of corporate statutory tax rates (a) on the effective tax rate, and (b) on the operational risk of capital investment projects and their parent firm's project portfolio. For illustrative and...
Persistent link: https://www.econbiz.de/10015211040
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Risk quantization by magnitude and propensity
Faugeras, Olivier; Pagès, Gilles - In: Insurance : mathematics and economics 116 (2024), pp. 134-147
Persistent link: https://www.econbiz.de/10015066797
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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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Law-invariant return and star-shaped risk measures
Laeven, Roger J. A.; Rosazza Gianin, Emanuela; Zullino, … - In: Insurance : mathematics and economics 117 (2024), pp. 140-153
Persistent link: https://www.econbiz.de/10015066962
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