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Search: subject:"value‐at‐risk"
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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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Free
3,838
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3,071
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217
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Article
6,321
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3,973
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8
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3
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4,973
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4,973
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1,326
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1,135
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427
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427
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237
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118
Collection of articles of several authors
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research-article
40
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28
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English
8,651
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1,081
German
483
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38
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24
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8
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6
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6
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4
Romanian
3
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2
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1
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Author
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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
All
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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271
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271
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
Saved in:
272
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
273
Risk measures in simulation-based business valuation : classification of risk measures in risk axiom systems and application in valuation practice
Ernst, Dietmar
- In:
Risks : open access journal
11
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014232597
Saved in:
274
Assessing the accuracy of exponentially weighted moving average models for
value-at-risk
and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
275
Market risk SREP methodology : market risk in SREP
European Central Bank
-
2023
Persistent link: https://www.econbiz.de/10015278797
Saved in:
276
Market risk SREP methodology : market risk in SREP
European Central Bank
-
2023
Persistent link: https://www.econbiz.de/10015280272
Saved in:
277
Risk measures under model uncertainty : a Bayesian viewpoint
Cuchiero, Christa
;
Gazzani, Guido
;
Klein, Irene
- In:
Frontiers of mathematical finance : FMF
2
(
2023
)
4
,
pp. 438-477
Persistent link: https://www.econbiz.de/10015374112
Saved in:
278
Backtestability and the ridge backtest
Acerbi, Carlo
;
Székely, Balázs
- In:
Frontiers of mathematical finance : FMF
2
(
2023
)
4
,
pp. 497-521
Persistent link: https://www.econbiz.de/10015374118
Saved in:
279
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh
Mai, Jan-Frederik
;
Blagoeva, Aleksandra
;
Scherer, Matthias
- In:
Frontiers of mathematical finance : FMF
2
(
2023
)
4
,
pp. 522-553
Persistent link: https://www.econbiz.de/10015374119
Saved in:
280
The automated bias-corrected and accelerated bootstrap confidence intervals for risk measures
Grün, Bettina
;
Miljkovic, Tatjana
- In:
North American actuarial journal : NAAJ ; leading the …
27
(
2023
)
4
,
pp. 731-750
Persistent link: https://www.econbiz.de/10014444116
Saved in:
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