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Search: subject_exact:"Conditional value at risk"
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Risikomaß
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McAleer, Michael
98
Wang, Ruodu
45
Allen, David E.
42
Härdle, Wolfgang
40
Stoja, Evarist
37
Fabozzi, Frank J.
35
Pérez Amaral, Teodosio
32
Hammoudeh, Shawkat
29
Daníelsson, Jón
28
Vanduffel, Steven
28
Dowd, Kevin
27
Polanski, Arnold
27
Powell, Robert
27
Vries, Casper G. de
27
Chang, Chia-Lin
26
Rosazza Gianin, Emanuela
24
Caporin, Massimiliano
23
Righi, Marcelo Brutti
23
Stoyanov, Stoyan V.
23
Brandtner, Mario
22
Embrechts, Paul
22
Jiménez-Martín, Juan-Ángel
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Uryasev, Stan
21
Dhaene, Jan
20
Giot, Pierre
20
Huschens, Stefan
20
Paolella, Marc S.
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Wied, Dominik
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Bernard, Carole
19
Dionne, Georges
19
Lucas, André
18
Singh, Abhay Kumar
18
Tsanakas, Andreas
18
Albrecht, Peter
17
Boonen, Tim J.
17
Mao, Tiantian
17
Mittnik, Stefan
17
Tiwari, Aviral Kumar
17
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National Bureau of Economic Research
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7
Basel Committee on Banking Supervision
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
4
University of Canterbury / Dept. of Economics and Finance
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Friedrich-Schiller-Universität Jena
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2
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International Center for Financial Asset Management and Engineering
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Department of Economics, Tufts University
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1
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1
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Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
123
European journal of operational research : EJOR
116
Finance research letters
115
Risks : open access journal
108
Energy economics
75
International review of financial analysis
74
Economic modelling
71
The North American journal of economics and finance : a journal of financial economics studies
67
The journal of risk model validation
67
Discussion paper / Tinbergen Institute
62
International journal of forecasting
59
Quantitative finance
57
Journal of empirical finance
55
Applied economics
53
Journal of risk and financial management : JRFM
52
Journal of risk management in financial institutions
47
The journal of operational risk
47
International journal of theoretical and applied finance
46
Journal of forecasting
42
Computational economics
41
International review of economics & finance : IREF
41
Journal of econometrics
41
The European journal of finance
38
Research in international business and finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Journal of economic dynamics & control
34
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Applied economics letters
32
Journal of international financial markets, institutions & money
32
Working papers
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Scandinavian actuarial journal
31
Finance and stochastics
30
Working paper
30
Econometric Institute research papers
29
Pacific-Basin finance journal
29
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ECONIS (ZBW)
7,498
RePEc
107
EconStor
23
BASE
5
Other ZBW resources
3
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2251
Optimal inventory decisions for a risk-averse retailer when offering layaway
Wang, Daao
;
Dimitrov, Stanko
;
Jian, Lirong
- In:
European journal of operational research : EJOR
284
(
2020
)
1
,
pp. 108-120
Persistent link: https://www.econbiz.de/10012238624
Saved in:
2252
Optimal ordering policy for complementary components with partial backordering and emergency replenishment under spectral risk measure
Li, Yanhai
;
Ou, Jinwen
- In:
European journal of operational research : EJOR
284
(
2020
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10012238736
Saved in:
2253
Portfolio problems with two levels decision-makers : optimal portfolio selection with pricing decisions on transaction costs
Leal, Marina
;
Ponce, Diego
;
Puerto, Justo
- In:
European journal of operational research : EJOR
284
(
2020
)
2
,
pp. 712-727
Persistent link: https://www.econbiz.de/10012238787
Saved in:
2254
Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan
;
Sun, Jie
;
Wang, Meihua
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
Saved in:
2255
Entropy based risk measures
Pichler, Alois
;
Schlotter, Ruben
- In:
European journal of operational research : EJOR
285
(
2020
)
1
,
pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
Saved in:
2256
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
2257
Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng
;
Shapiro, Alexander
- In:
European journal of operational research : EJOR
286
(
2020
)
1
,
pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
Saved in:
2258
Fractional risk process in insurance
Kumar, Arun
;
Leonenko, Nikolaj
;
Pichler, Alois
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10012239969
Saved in:
2259
Dual representations for systemic risk measures
Ararat, Çağın
;
Rudloff, Birgit
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
Saved in:
2260
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio
;
Tangpi, Ludovic
- In:
Mathematics and financial economics
14
(
2020
)
3
,
pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
Saved in:
2261
Risk analysis with categorical explanatory variables
Kang, Seul Ki
;
Peng, Liang
;
Xiao, Hongmin
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 238-243
Persistent link: https://www.econbiz.de/10012242018
Saved in:
2262
Modelling extreme claims via composite models and threshold selection methods
Wang, Yinzhi
;
Hobæk Haff, Ingrid
;
Huseby, Arne
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 257-268
Persistent link: https://www.econbiz.de/10012242026
Saved in:
2263
On sums of two counter-monotonic risks
Chaoubi, Ihsan
;
Cossette, Hélène
;
Gadoury, Simon-Pierre
; …
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
Saved in:
2264
Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert
;
Stoev, Stilian
;
Cooley, Daniel
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
Saved in:
2265
Multi-stage nested classification credibility quantile regression model
Pitselis, Georgios
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 162-176
Persistent link: https://www.econbiz.de/10012242049
Saved in:
2266
Epi-regularization of risk measures
Kouri, Drew P.
;
Surowiec, Thomas M.
- In:
Mathematics of operations research
45
(
2020
)
2
,
pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
Saved in:
2267
Optimal insurance contracts under distortion risk measures with ambiguity aversion
Jiang, Wenjun
;
Escobar, Marcos
;
Ren, Jiandong
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 619-646
Persistent link: https://www.econbiz.de/10012243390
Saved in:
2268
Weighted comonotonic risk sharing under heterogeneous beliefs
Liu, Haiyan
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 647-673
Persistent link: https://www.econbiz.de/10012243394
Saved in:
2269
Does marginal VaR lead to improved performance of managed portfolios : a study of S&P BSE 100 and S&P BSE 200
Jain, Shrey
;
Chakrabarty, Siddhartha P.
- In:
Asia Pacific financial markets
27
(
2020
)
2
,
pp. 291-323
Persistent link: https://www.econbiz.de/10012222405
Saved in:
2270
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
Saved in:
2271
Measuring CoVaR : an empirical comparison
Bianchi, Michele Leonardo
;
Sorrentino, Alberto Maria
- In:
Computational economics
55
(
2020
)
2
,
pp. 511-528
Persistent link: https://www.econbiz.de/10012223647
Saved in:
2272
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
2273
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
2274
Bias decomposition in the value-at-risk calculation by a GARCH(1,1)
Haddad, GholamReza Keshavarz
;
Hasanzade, Mehrnoosh
- In:
International journal of computational economics and …
10
(
2020
)
2
,
pp. 183-202
Persistent link: https://www.econbiz.de/10012226716
Saved in:
2275
Qualitative robustness of set-valued value-at-risk
Crespi, Giovanni Paolo
;
Mastrogiacomo, Elisa
- In:
Mathematical methods of operations research : ZOR
91
(
2020
)
1
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012229482
Saved in:
2276
A continuous selection for optimal portfolios under convex risk measures does not always exist
Baes, Michel
;
Munari, Cosimo-Andrea
- In:
Mathematical methods of operations research : ZOR
91
(
2020
)
1
,
pp. 5-23
Persistent link: https://www.econbiz.de/10012229500
Saved in:
2277
Supplier selection and order allocation in CLSC configuration with various supply strategies under disruption risk
Rezaei, Shahrbanoo
;
Ghalehkhondabi, Iman
;
Rafiee, Majid
; …
- In:
Opsearch : journal of the Operational Research Society …
57
(
2020
)
3
,
pp. 908-934
Persistent link: https://www.econbiz.de/10012302376
Saved in:
2278
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
Saved in:
2279
Longevity trend risk over limited time horizons
Richards, Stephen J.
;
Currie, Iain D.
;
Kleinow, Torsten
; …
- In:
Annals of actuarial science : publ. by the Institute of …
14
(
2020
)
2
,
pp. 262-277
Persistent link: https://www.econbiz.de/10012307355
Saved in:
2280
Asymmetry in mortality volatility and its implications on index-based longevity hedging
Zhou, Kenneth Q.
;
Li, Johnny Siu-Hang
- In:
Annals of actuarial science : publ. by the Institute of …
14
(
2020
)
2
,
pp. 278-301
Persistent link: https://www.econbiz.de/10012307356
Saved in:
2281
Risk-based capital for variable annuity under stochastic interest rate
Wang, JinDong
;
Xu, Wei
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 959-999
Persistent link: https://www.econbiz.de/10012307392
Saved in:
2282
Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Cai, Jun
;
Mao, Tiantian
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1065-1092
Persistent link: https://www.econbiz.de/10012307399
Saved in:
2283
Model comparison with sharpe ratios
Barillas, Francisco
;
Kan, Raymond
;
Robotti, Cesare
; …
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
6
,
pp. 1840-1874
Persistent link: https://www.econbiz.de/10012307548
Saved in:
2284
Regime-switching processes and mean-reverting volatility models in value-at-risk estimation : evidence from the Taiwan Stock Index
Chen, Yi-Wen
;
Lin, Chu-Bin
;
Tu, Anthony H.
- In:
Emerging markets, finance & trade : a journal of the …
56
(
2020
)
12
,
pp. 2693-2710
Persistent link: https://www.econbiz.de/10012312671
Saved in:
2285
Portfolio stress testing applied to commodity futures
Paraschiv, Florentina
;
Reese, Stine Marie
;
Skjelstad, …
- In:
Computational management science
17
(
2020
)
2
,
pp. 203-240
Persistent link: https://www.econbiz.de/10012272062
Saved in:
2286
The distributionally robust machine scheduling problem with job selection and sequence-dependent setup times
Bruni, Maria Elena
;
Khodaparasti, S.
;
Demeulemeester, Erik
- In:
Computers & operations research : and their …
123
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012286290
Saved in:
2287
The distortion principle for insurance pricing : properties, identification and robustness
Escobar, Debora Daniela
;
Pflug, Georg
- In:
Stochastic optimization: theory and applications
,
(pp. 771-794)
.
2020
Persistent link: https://www.econbiz.de/10012290841
Saved in:
2288
Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
Shushi, Tomer
;
Yao, Jing
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 178-186
Persistent link: https://www.econbiz.de/10012294094
Saved in:
2289
Ruin-based risk measures in discrete-time risk models
Cossette, Hélène
;
Marceau, Etienne
;
Trufin, Julien
; …
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 246-261
Persistent link: https://www.econbiz.de/10012294129
Saved in:
2290
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
2291
Prevention efforts, insurance demand and price incentives under coherent risk measures
Bensalem, Sarah
;
Hernández Santibáñez, Nicolás
; …
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 369-386
Persistent link: https://www.econbiz.de/10012294143
Saved in:
2292
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Tadese, Mekonnen
;
Drapeau, Samuel
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 387-399
Persistent link: https://www.econbiz.de/10012294144
Saved in:
2293
Risk quantification and validation for Bitcoin
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Operations research letters
48
(
2020
)
4
,
pp. 534-541
Persistent link: https://www.econbiz.de/10012294824
Saved in:
2294
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Saved in:
2295
Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben
;
Smith, Michael S.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
Saved in:
2296
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
2297
Modeling the return distribution of salmon farming companies : a quantile regression approach
Steen, Marie
;
Jacobsen, Fredrik
- In:
Aquaculture economics & management : official journal …
24
(
2020
)
3
,
pp. 310-337
Persistent link: https://www.econbiz.de/10012264424
Saved in:
2298
A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
2299
Capital allocation for set-valued risk measures
Centrone, Francesca
;
Rosazza Gianin, Emanuela
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
Saved in:
2300
Dynamic mean-variance portfolios with risk budget
Luo, Sheng-Feng
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012270888
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