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  • Search: subject:"conditional value at risk"
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Year of publication
Subject
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Risikomaß 2,684 Risk measure 2,683 Theorie 1,543 Theory 1,543 Portfolio selection 982 Portfolio-Management 982 Risk 945 Risiko 944 Risikomanagement 853 Risk management 851 Messung 473 Measurement 472 Statistical distribution 390 Statistische Verteilung 390 Estimation 373 Schätzung 373 Forecasting model 368 Prognoseverfahren 368 ARCH model 333 ARCH-Modell 333 Volatility 321 Volatilität 320 Capital income 294 Kapitaleinkommen 294 Bank risk 264 Bankrisiko 264 Credit risk 242 Estimation theory 238 Kreditrisiko 238 Schätztheorie 238 VAR model 204 VAR-Modell 204 Basel Accord 192 Basler Akkord 192 Financial crisis 185 Finanzkrise 185 Outliers 181 Ausreißer 180 Time series analysis 172 Zeitreihenanalyse 172
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Online availability
All
Free 2,757 CC license 213
Type of publication
All
Book / Working Paper 2,162 Article 595
Type of publication (narrower categories)
All
Graue Literatur 900 Non-commercial literature 900 Working Paper 892 Arbeitspapier 889 Article in journal 560 Aufsatz in Zeitschrift 560 Hochschulschrift 63 Thesis 38 Article 21 Collection of articles written by one author 11 Sammlung 11 Collection of articles of several authors 8 Sammelwerk 8 Aufsatzsammlung 4 Conference paper 4 Konferenzbeitrag 4 Congress Report 3 Forschungsbericht 2 Konferenzschrift 2 Amtliche Publikation 1 Aufsatz im Buch 1 Book section 1 Glossar enthalten 1 Glossary included 1 Lehrbuch 1 Mehrbändiges Werk 1 Multi-volume publication 1 Systematic review 1 Textbook 1 Übersichtsarbeit 1
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Language
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English 2,684 Undetermined 33 German 26 Spanish 8 French 3 Polish 2 Italian 1 Portuguese 1
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Author
All
McAleer, Michael 75 Allen, David E. 34 Härdle, Wolfgang 30 Pérez Amaral, Teodosio 28 Wang, Ruodu 22 Powell, Robert 21 Chang, Chia-Lin 20 Jiménez-Martín, Juan-Ángel 19 Lucas, André 19 Vanduffel, Steven 18 Vries, Casper G. de 16 Chen Zhou 15 Stoja, Evarist 15 Zhang, Xin 15 Einmahl, John H. J. 14 Kratz, Marie 14 Chlebus, Marcin 12 Dionne, Georges 12 Singh, Abhay Kumar 12 Caporin, Massimiliano 11 Dhaene, Jan 11 Fabozzi, Frank J. 11 Hassani, Samir Saissi 11 Schwaab, Bernd 11 Wied, Dominik 11 Albrecht, Peter 10 Bernard, Carole 10 Mittnik, Stefan 10 Paolella, Marc S. 10 Rosazza Gianin, Emanuela 10 Schienle, Melanie 10 Stoyanov, Stoyan V. 10 Tsanakas, Andreas 10 Cai, Zongwu 9 Csóka, Péter 9 Daouia, Abdelaati 9 Giot, Pierre 9 Olmo, Jose 9 Uryasev, Stan 9 Asimit, Alexandru Vali 8
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Institution
All
National Bureau of Economic Research 11 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 6 Basel Committee on Banking Supervision 5 European Central Bank 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 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 International Center for Financial Asset Management and Engineering 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Agricultural and Applied Economics Association - AAEA 1 Australian Agricultural and Resource Economics Society - AARES 1 Banco Central do Brasil 1 Bergische Universität Wuppertal 1 Center for Economic Research <Tilburg> 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department of Management Science, Management School 1 Econometrisch Instituut <Rotterdam> 1 Eidgenössische Technische Hochschule Zürich 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 European Commission / Joint Research Centre 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Fakultät für Wirtschaftswissenschaft, Otto-von-Guericke-Universität Magdeburg 1 Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 1 Federal Reserve Bank of St. Louis 1 HAL 1 Instituto sobre Desarrollo Empresarial (INDEM), Universidad Carlos III de Madrid 1 International Monetary Fund 1 Massachusetts Institute of Technology / Department of Economics 1 Melbourne Business School 1 Rimini Centre for Economic Analysis (RCEA) 1 School of Management, Yale University 1 Technische Universität Chemnitz 1 Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise 1
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Published in...
All
Risks : open access journal 115 Discussion paper / Tinbergen Institute 57 Journal of risk and financial management : JRFM 54 SFB 649 discussion paper 32 Econometric Institute research papers 31 Working paper 30 Working papers 27 Research paper series / Swiss Finance Institute 24 Finance and economics discussion series 17 International journal of economics and financial issues : IJEFI 17 Financial innovation : FIN 15 CFS working paper series 14 IMF working papers 14 Discussion paper / Center for Economic Research, Tilburg University 13 Swiss Finance Institute Research Paper 13 Working papers / TSE : WP 13 CORE discussion papers : DP 12 Cogent economics & finance 12 School of Accounting, Finance and Economics & FEMARC working paper series 12 CESifo working papers 11 NBER working paper series 11 Staff working papers / Bank of England 11 Bundesbank Series 2 Discussion Paper 10 Discussion paper 10 Econometrics : open access journal 10 International Journal of Financial Studies : open access journal 10 NBER Working Paper 10 CORE discussion paper : DP 9 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 9 IES working paper 9 Quantitative finance 9 Risks 9 Working paper series 9 Working paper series in economics 9 Working papers series in theoretical and applied economics 9 ERIM report series research in management 8 Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft 8 Sveriges Riksbank working paper series 8 Umeå economic studies 8 Working paper series / European Central Bank 8
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Source
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ECONIS (ZBW) 2,685 RePEc 39 EconStor 26 BASE 7
Showing 1 - 10 of 2,757
Cover Image
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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Socially responsible multiobjective optimal portfolios
Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076
Persistent link: https://www.econbiz.de/10015188547
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Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance
Lotfi, Somayyeh; Zenios, Stauros Andrea - In: Review of managerial science : RMS 18 (2024) 7, pp. 2115-2140
Persistent link: https://www.econbiz.de/10015134061
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Cryptocurrency portfolio allocation under credibilistic CVaR criterion and practical constraints
Ghanbari, Hossein; Mohammadi, Emran - In: Risks : open access journal 12 (2024) 10, pp. 1-23
The cryptocurrency market offers attractive but risky investment opportunities, characterized by rapid growth, extreme volatility, and uncertainty. Traditional risk management models, which rely on probabilistic assumptions and historical data, often fail to capture the market's unique dynamics...
Persistent link: https://www.econbiz.de/10015135746
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Newsvendor conditional value-at-risk minimisation : a feature-based approach under adaptive data selection
Liu, Congzheng; Zhu, Wenqi - In: European journal of operational research : EJOR 313 (2024) 2, pp. 548-564
Persistent link: https://www.econbiz.de/10014456596
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A fuzzy multi-criteria decision-making for optimizing supply chain aggregate production planning based on cost reduction and risk mitigation
Sutthibutr, Noppasorn; Hiraishi, Kunihiko; Navee Chiadamrong - In: Journal of open innovation : technology, market, and … 10 (2024) 4, pp. 1-18
In an increasingly complex and uncertain business environment, decision makers require robust strategies for supply chain aggregate production planning that account for the interdependencies and coordination across multiple echelons of the supply chain network. Traditional approaches often...
Persistent link: https://www.econbiz.de/10015183364
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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
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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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A robust ordered weighted averaging loss model for portfolio optimization
Benati, Stefano; Sánchez Conde, Eduardo - In: Computers & operations research : an international journal 167 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014566418
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Expected shortfall regression for high-dimensional additive models
Honda, Toshio; Peng, Po-Hsiang - 2025
Persistent link: https://www.econbiz.de/10015196326
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