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  • Search: subject:"expected shortfall."
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Year of publication
Subject
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Risikomaß 8,267 Risk measure 8,261 Theorie 4,525 Theory 4,521 Portfolio selection 3,129 Portfolio-Management 3,129 Risikomanagement 2,876 Risiko 2,853 Risk management 2,853 Risk 2,849 Messung 1,352 Measurement 1,339 Statistische Verteilung 1,135 Statistical distribution 1,134 ARCH-Modell 1,129 ARCH model 1,127 Schätzung 1,007 Volatility 1,007 Volatilität 1,007 Estimation 1,006 Prognoseverfahren 906 Forecasting model 905 Bank risk 880 Bankrisiko 880 Capital income 841 Kapitaleinkommen 841 Kreditrisiko 798 Credit risk 796 Schätztheorie 678 Estimation theory 677 Basel Accord 572 Basler Akkord 572 Outliers 551 Ausreißer 548 Financial crisis 530 Finanzkrise 529 Multivariate Verteilung 514 Multivariate distribution 514 Systemic risk 488 VAR model 485
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Online availability
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Free 2,877 Undetermined 2,582 CC license 214
Type of publication
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Article 5,540 Book / Working Paper 3,011 Other 3 Journal 2
Type of publication (narrower categories)
All
Article in journal 4,901 Aufsatz in Zeitschrift 4,901 Graue Literatur 1,181 Non-commercial literature 1,181 Working Paper 1,149 Arbeitspapier 1,114 Aufsatz im Buch 425 Book section 425 Hochschulschrift 218 Thesis 166 Collection of articles of several authors 52 Sammelwerk 52 Article 39 Collection of articles written by one author 36 Sammlung 36 Conference paper 27 Konferenzbeitrag 27 Aufsatzsammlung 22 Lehrbuch 22 Textbook 20 Case study 13 Fallstudie 13 research-article 12 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 Forschungsbericht 3 Government document 3 Festschrift 2 Guidebook 2
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Language
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English 7,974 German 378 Undetermined 151 Spanish 22 French 17 Polish 5 Portuguese 5 Italian 4 Czech 1 Croatian 1 Russian 1 Slovenian 1 Turkish 1
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Author
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McAleer, Michael 92 Härdle, Wolfgang 55 Wang, Ruodu 55 Allen, David E. 45 Fabozzi, Frank J. 37 Pérez Amaral, Teodosio 36 Righi, Marcelo Brutti 32 Vries, Casper G. de 32 Daníelsson, Jón 31 Vanduffel, Steven 30 Dowd, Kevin 29 Stoja, Evarist 29 Powell, Robert 27 Račev, Svetlozar T. 27 Rosazza Gianin, Emanuela 27 Al Janabi, Mazin A. M. 26 Chang, Chia-Lin 26 Lucas, André 26 Embrechts, Paul 24 Hammoudeh, Shawkat 24 Jiménez-Martín, Juan-Ángel 24 Paolella, Marc S. 24 Rüschendorf, Ludger 24 Ardia, David 21 Caporin, Massimiliano 21 Cheung, Ka Chun 21 Dhaene, Jan 21 Giot, Pierre 21 Kratz, Marie 21 Boonen, Tim J. 20 Chen Zhou 20 Hoogerheide, Lennart 20 Huschens, Stefan 20 Stoyanov, Stoyan V. 20 Tsanakas, Andreas 20 Weiß, Gregor 20 Wied, Dominik 20 Albrecht, Peter 19 Bernard, Carole 19 Dionne, Georges 19
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 National Bureau of Economic Research 11 Basel Committee on Banking Supervision 7 Springer Fachmedien Wiesbaden 7 HAL 6 Business School, University of Sydney 5 European Central Bank 5 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 University of Canterbury / Dept. of Economics and Finance 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Friedrich-Schiller-Universität Jena 3 Geary Institute, University College Dublin 3 Pensions Institute 3 Springer-Verlag GmbH 3 Swiss Finance Institute 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Tinbergen Instituut 3 Universität Mannheim 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 CESifo 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Deutsche Bundesbank 2 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Federal Reserve Bank of San Francisco 2 Gottfried Wilhelm Leibniz Universität Hannover 2 HFDF <2, 1998, Zürich> 2 International Center for Financial Asset Management and Engineering 2 School of Economics and Finance, Tasmanian School of Business and Economics 2 Society for Computational Economics - SCE 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes 2 Universität Konstanz 2 Verlag Dr. Kovač 2 Banco Central do Brasil 1 Banco de la Republica de Colombia 1 Bank für Internationalen Zahlungsausgleich 1 Bank of Japan 1 Bank-Verlag GmbH 1 Bergische Universität Wuppertal 1 Berliner Wissenschafts-Verlag 1
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Published in...
All
Insurance / Mathematics & economics 253 Journal of banking & finance 183 European journal of operational research : EJOR 129 Journal of risk 125 Risks : open access journal 122 Finance research letters 110 International review of financial analysis 72 Economic modelling 69 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 Research in international business and finance 39 International review of economics & finance : IREF 38 Working paper 38 Finance and stochastics 37 Journal of financial econometrics : official journal of the Society for Financial Econometrics 37 Research paper series / Swiss Finance Institute 37 Management science : journal of the Institute for Operations Research and the Management Sciences 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) 8,277 RePEc 182 EconStor 76 Other ZBW resources 13 BASE 8
Showing 721 - 730 of 8,556
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International stock market volatility : a global tail risk sight
Lu, Xinjie; Zeng, Qing; Zhong, Juandan; Zhu, Bo - In: Journal of international financial markets, … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
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Fuzzy quantitative risk allocation model (FQRAM) to guide decision-making on risk allocation in Ghanaian public-private partnership (PPP) power projects
Kukah, Augustine Senanu Komla; Owusu-Manu, De-Graft; … - In: Journal of financial management of property and construction 29 (2024) 1, pp. 83-114
Persistent link: https://www.econbiz.de/10014495503
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Do green investments improve portfolio diversification? : evidence from mean conditional value-at-risk optimization
Ben Ameur, Hachmi; Ftiti, Zied; Louhichi, Waël; … - In: International review of financial analysis 94 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014543934
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Do ESG ETFs provide downside risk protection during Covid-19? : evidence from forecast combination models
Huang, Yujun - In: International review of financial analysis 94 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014543986
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Diversifying and hedging REIT portfolios with cryptocurrencies : evidence from global and regional REIT indices
Odusami, Babatunde Olatunji; Akinsomi, Omokolade - In: International review of financial analysis 94 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014544083
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A branch-and-bound approach to minimise the value-at-risk of the makespan in a stochastic two-machine flow shop
Liu, Lei; Urgo, Marcello - In: International journal of production research 62 (2024) 6, pp. 2107-2123
Persistent link: https://www.econbiz.de/10014546362
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Stock market spillovers of global risks and hedging opportunities
Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10014547146
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Hierarchical mortality forecasting with EVT tails : an application to solvency capital requirement
Li, Han; Chen, Hua - In: International journal of forecasting 40 (2024) 2, pp. 549-563
Persistent link: https://www.econbiz.de/10014547182
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What drives the tail risk effect in the Chinese stock market?
Sun, Kaisi; Wang, Hui; Zhu, Yifeng - In: Economic modelling 132 (2024)
Persistent link: https://www.econbiz.de/10014547938
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Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014547968
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