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  • Search: subject:"value‐at‐risk"
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Year of publication
Subject
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Risikomaß 8,319 Risk measure 8,292 Theorie 4,618 Theory 4,573 Portfolio-Management 3,175 Portfolio selection 3,157 Risikomanagement 2,963 Risk management 2,929 Risiko 2,885 Risk 2,884 Messung 1,368 Measurement 1,347 Statistische Verteilung 1,148 ARCH-Modell 1,145 Statistical distribution 1,140 ARCH model 1,135 Volatility 1,046 Schätzung 1,039 Volatilität 1,035 Estimation 1,023 Prognoseverfahren 924 Forecasting model 916 Bankrisiko 901 Bank risk 898 Kapitaleinkommen 854 Capital income 852 Kreditrisiko 841 Credit risk 823 Value-at-Risk 795 Schätztheorie 687 Estimation theory 683 Value at Risk 665 Basel Accord 597 Basler Akkord 583 Outliers 552 Ausreißer 549 Financial crisis 545 Finanzkrise 537 Multivariate Verteilung 513 Multivariate distribution 513
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Online availability
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Free 3,838 Undetermined 3,071 CC license 217
Type of publication
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Article 6,321 Book / Working Paper 3,973 Other 8 Journal 3
Type of publication (narrower categories)
All
Article in journal 4,973 Aufsatz in Zeitschrift 4,973 Working Paper 1,326 Graue Literatur 1,208 Non-commercial literature 1,208 Arbeitspapier 1,135 Aufsatz im Buch 427 Book section 427 Hochschulschrift 237 Thesis 202 Article 118 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 8,651 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 Stoja, Evarist 35 Hammoudeh, Shawkat 34 Paolella, Marc S. 34 Righi, Marcelo Brutti 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
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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 133 Journal of risk 125 Risks : open access journal 123 Finance research letters 112 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) 8,405 RePEc 1,331 EconStor 320 USB Cologne (business full texts) 83 USB Cologne (EcoSocSci) 61 Other ZBW resources 54 BASE 51
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Showing 131 - 140 of 10,305
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1010-1025
Persistent link: https://www.econbiz.de/10015053528
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Spectral backtests unbounded and folded
Gordy, Michael B.; McNeil, Alexander J. - 2024
Persistent link: https://www.econbiz.de/10015056427
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Simulating credit loss distributions : empirical versus the Vasicek model
Milonas, Natasa; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 2, pp. 77-88
Persistent link: https://www.econbiz.de/10014584054
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Evaluation of strategy portfolios
Wang, Anlan; Kresta, Aleš; Tichý, Tomáš - In: Computational management science 21 (2024) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014636777
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Some results on bivariate squared maximum sharpe ratio
Mousavi, Samane Al-sadat; Dolati, Ali; Dastbaravarde, Ali - In: Risks : open access journal 12 (2024) 6, pp. 1-17
The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, selecting a set of investment opportunities is...
Persistent link: https://www.econbiz.de/10014636835
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Are reference measures of law-invariant functionals unique?
Liebrich, Felix-Benedikt - In: Insurance : mathematics and economics 118 (2024), pp. 129-141
Persistent link: https://www.econbiz.de/10015067038
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Multinomial backtesting of distortion risk measures
Bettels, Sören; Kim, Sojung; Weber, Stefan - In: Insurance : mathematics and economics 119 (2024), pp. 130-145
Persistent link: https://www.econbiz.de/10015067217
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Measuring tail risk
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10015075193
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Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014564284
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