EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"expected shortfall"
Narrow search

Narrow search

Year of publication
Subject
All
Risikomaß 2,689 Risk measure 2,684 Theorie 1,547 Theory 1,543 Portfolio-Management 983 Portfolio selection 982 Risiko 944 Risk 944 Risikomanagement 856 Risk management 855 Measurement 474 Messung 474 Statistische Verteilung 391 Statistical distribution 390 Schätzung 377 Estimation 374 Prognoseverfahren 370 Forecasting model 369 ARCH-Modell 335 ARCH model 333 Volatility 323 Volatilität 322 Capital income 295 Kapitaleinkommen 295 Bank risk 266 Bankrisiko 266 Credit risk 240 Kreditrisiko 240 Schätztheorie 239 Estimation theory 238 VAR model 204 VAR-Modell 204 Basel Accord 193 Basler Akkord 193 Financial crisis 186 Finanzkrise 186 Outliers 181 Ausreißer 180 Zeitreihenanalyse 173 Time series analysis 172
more ... less ...
Online availability
All
Free 2,885 CC license 216
Type of publication
All
Book / Working Paper 2,257 Article 625 Other 3
Type of publication (narrower categories)
All
Working Paper 927 Graue Literatur 902 Non-commercial literature 902 Arbeitspapier 892 Article in journal 564 Aufsatz in Zeitschrift 564 Hochschulschrift 63 Thesis 41 Article 39 Collection of articles written by one author 11 Sammlung 11 Collection of articles of several authors 8 Sammelwerk 8 Aufsatzsammlung 5 Conference paper 4 Konferenzbeitrag 4 Forschungsbericht 2 Konferenzschrift 2 Amtliche Publikation 1 Aufsatz im Buch 1 Book section 1 Conference Paper 1 Glossar enthalten 1 Glossary included 1 Lehrbuch 1 Mehrbändiges Werk 1 Multi-volume publication 1 Preprint 1 Systematic review 1 Textbook 1 research-article 1 Übersichtsarbeit 1
more ... less ...
Language
All
English 2,758 Undetermined 77 German 29 Spanish 9 French 4 Portuguese 4 Italian 1 Polish 1 Russian 1 Slovenian 1 Turkish 1
more ... less ...
Author
All
McAleer, Michael 72 Allen, David E. 34 Härdle, Wolfgang 32 Pérez Amaral, Teodosio 28 Wang, Ruodu 24 Chang, Chia-Lin 22 Jiménez-Martín, Juan-Ángel 21 Lucas, André 19 Powell, Robert 19 Kratz, Marie 18 Vanduffel, Steven 18 Vries, Casper G. de 16 Chen Zhou 15 Stoja, Evarist 15 Zhang, Xin 15 Einmahl, John H. J. 14 Hoogerheide, Lennart 14 Chlebus, Marcin 12 Dionne, Georges 12 Singh, Abhay Kumar 12 Zikovic, Sasa 12 Caporin, Massimiliano 11 Dhaene, Jan 11 Hassani, Samir Saissi 11 Schwaab, Bernd 11 Wied, Dominik 11 Albrecht, Peter 10 Bernard, Carole 10 Daouia, Abdelaati 10 Paolella, Marc S. 10 Rosazza Gianin, Emanuela 10 Rüschendorf, Ludger 10 Schienle, Melanie 10 Tsanakas, Andreas 10 Ardia, David 9 Cai, Zongwu 9 Csóka, Péter 9 Dijk, Herman K. van 9 Embrechts, Paul 9 Fabozzi, Frank J. 9
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 National Bureau of Economic Research 11 Basel Committee on Banking Supervision 6 HAL 6 Business School, University of Sydney 5 European Central Bank 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Geary Institute, University College Dublin 3 Swiss Finance Institute 3 Tinbergen Instituut 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 CESifo 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Deutsche Bundesbank 2 Federal Reserve Bank of San Francisco 2 Gottfried Wilhelm Leibniz Universität Hannover 2 International Center for Financial Asset Management and Engineering 2 School of Economics and Finance, Tasmanian School of Business and Economics 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Banco Central do Brasil 1 Banco de la Republica de Colombia 1 Bank of Japan 1 Bergische Universität Wuppertal 1 Center for Applied Economics and Policy Research (CAEPR), Department of Economics 1 Center for Economic Research <Tilburg> 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre for Microdata Methods and Practice (CEMMAP) 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, College of Business and Economics 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1 Department of Economics, Oxford University 1 Department of Economics, University of Crete 1
more ... less ...
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 31 Working papers 27 Research paper series / Swiss Finance Institute 25 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 Risks 13 Swiss Finance Institute Research Paper 13 Working papers / TSE : WP 13 CORE discussion papers : DP 12 Cogent economics & finance 12 Journal of Risk and Financial Management 12 MPRA Paper 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 Tinbergen Institute Discussion Paper 10 CESifo Working Paper Series 9 CORE discussion paper : DP 9 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 9 IES working paper 9 Quantitative finance 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
more ... less ...
Source
All
ECONIS (ZBW) 2,693 RePEc 106 EconStor 76 BASE 8 Other ZBW resources 2
Showing 1 - 10 of 2,885
Cover Image
Expected shortfall regression for high-dimensional additive models
Honda, Toshio; Peng, Po-Hsiang - 2025
Persistent link: https://www.econbiz.de/10015196326
Saved in:
Cover Image
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
Saved in:
Cover Image
New bounds for tail risk measures
Carnero, M. Angeles; León, Ángel; Ñíguez, Trino-Manuel - In: Finance research letters 75 (2025), pp. 1-8
Persistent link: https://www.econbiz.de/10015408528
Saved in:
Cover Image
Market risk of securities held by Italian banks and insurance companies
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408587
Saved in:
Cover Image
Comparing the systemic risk of Italian insurers and banks
Bianchi, Michele Leonardo; Pallante, Federica - 2025
Persistent link: https://www.econbiz.de/10015408590
Saved in:
Cover Image
The nonlinear effects of banks' vulnerability to capital depletion in euro area countries
Davidson, Sharada Nia; Moccero, Diego Nicolas - 2024
When capital in the banking system becomes depleted, the degree to which financial intermediation and the macroeconomy are adversely affected is likely to depend on the financial and macroeconomic environment. However, existing studies either assume that the effects of bank capital shocks are...
Persistent link: https://www.econbiz.de/10014490448
Saved in:
Cover Image
A comparative VaR analysis between low-frequency and high-frequency conditional EVT models during COVID-19 crisis
Nor Azliana Aridi; Hooi, Tan Siow; Cheong, Chin Wen - In: Cogent economics & finance 12 (2024) 1, pp. 1-19
market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The …
Persistent link: https://www.econbiz.de/10015359301
Saved in:
Cover Image
A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024
Persistent link: https://www.econbiz.de/10015097279
Saved in:
Cover Image
Dynamic tail risk forecasting : what do realized skewness and kurtosis add?
Gallo, Giampiero M.; Okhrin, Ostap; Storti, Giuseppe - 2024 - Prima edizione
Persistent link: https://www.econbiz.de/10015099208
Saved in:
Cover Image
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:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...