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Search: subject:"value at risk"
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Risikomaß
7,383
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7,357
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3,588
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2,688
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2,670
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2,255
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2,218
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2,054
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2,052
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1,161
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1,140
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1,106
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1,098
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1,093
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1,077
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1,011
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1,001
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962
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954
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888
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880
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766
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760
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758
Value at Risk
658
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634
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616
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556
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553
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513
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499
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487
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485
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483
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479
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467
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461
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451
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8
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McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
49
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Pérez-Amaral, Teodosio
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Brandtner, Mario
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
22
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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
National Bureau of Economic Research
13
Erasmus University Rotterdam, Econometric Institute
12
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
12
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
Henley Business School, University of Reading
8
Université Paris-Dauphine (Paris IX)
8
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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
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
5
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Insurance / Mathematics & economics
219
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
113
Risks : open access journal
106
Finance research letters
94
Energy economics
71
Economic modelling
70
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
68
Discussion paper / Tinbergen Institute
64
MPRA Paper
61
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Quantitative finance
51
Journal of risk management in financial institutions
47
International journal of theoretical and applied finance
46
The journal of operational risk
45
Journal of forecasting
44
Journal of econometrics
42
Computational economics
39
Insurance: Mathematics and Economics
39
International review of economics & finance : IREF
37
Risks
37
The European journal of finance
37
Tinbergen Institute Discussion Papers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
Journal of Risk and Financial Management
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Tinbergen Institute Discussion Paper
34
Journal of economic dynamics & control
33
Journal of international financial markets, institutions & money
33
Scandinavian actuarial journal
33
Working papers
32
Applied economics letters
31
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ECONIS (ZBW)
7,488
RePEc
1,331
EconStor
310
USB Cologne (business full texts)
83
USB Cologne (EcoSocSci)
61
BASE
50
Other ZBW resources
3
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41
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Date (oldest first)
41
An AI approach to measuring financial risk
Yu, Lining
;
Härdle, Wolfgang
;
Borke, Lukas
;
Benschop, Thijs
- In:
The Singapore economic review
68
(
2023
)
5
,
pp. 1529-1549
Persistent link: https://www.econbiz.de/10014436192
Saved in:
42
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
43
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
44
Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-24
propose a Laplace-transform-based approach to computing
Value
at
Risk
(VaR) and conditional VaR (also known as the expected …
Persistent link: https://www.econbiz.de/10014446758
Saved in:
45
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
46
Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional
Value-at-Risk
(CVaR) constraint
Staino, Alessandro
;
Russo, Emilio
;
Costabile, Massimo
; …
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014228472
Saved in:
47
Portfolio rebalancing based on time series momentum and downside risk
Guo, Xiaoshi
;
Ryan, Sarah M.
- In:
IMA journal of management mathematics
34
(
2023
)
2
,
pp. 355-381
Persistent link: https://www.econbiz.de/10014313747
Saved in:
48
Backtesting
value-at-risk
and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
49
Maximum likelihood inference for asymmetric stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-18
illustrates that the proposed method is a quick and accurate alternative for forecasting
value-at-risk
. …
Persistent link: https://www.econbiz.de/10014281498
Saved in:
50
Model and efficient algorithm for the portfolio selection problem with real-world constraints under
value-at-risk
measure
Hooshmand, F.
;
Anoushirvani, Z.
;
MirHassani, S. A.
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2665-2690
Persistent link: https://www.econbiz.de/10014261204
Saved in:
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