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Measurement
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Allen, David E.
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Mercadier, Mathieu
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Applied economics letters
Insurance / Mathematics & economics
104
European journal of operational research : EJOR
28
Risks : open access journal
28
Journal of risk
25
Journal of banking & finance
21
Mathematics of operations research
19
Finance and stochastics
17
Mathematics and financial economics
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Quantitative finance
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International journal of theoretical and applied finance
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Finance research letters
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Scandinavian actuarial journal
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of risk model validation
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International review of financial analysis
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Operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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Research paper series / Swiss Finance Institute
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ASTIN bulletin : the journal of the International Actuarial Association
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Computational economics
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Journal of financial econometrics
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Journal of risk and financial management : JRFM
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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The journal of operational risk
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Astin bulletin : the journal of the International Actuarial Association
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International review of economics & finance : IREF
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Risk measures for the 21st century
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Applied economics
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Applied mathematical finance
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Journal of forecasting
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Journal of mathematical finance
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INFORMS journal on computing : JOC
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
(Simple) ΔCoVaR bounds
Mercadier, Mathieu
;
Strobel, Frank
- In:
Applied economics letters
30
(
2023
)
14
,
pp. 1874-1881
Persistent link: https://www.econbiz.de/10014305372
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2
Period value at risk and its estimation by Monte Carlo simulation
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Applied economics letters
29
(
2022
)
18
,
pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
Saved in:
3
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:
4
Histogram-valued data on value at risk measures : a symbolic approach for risk attribution
Toque, Carole
;
Terraza, Virginie
- In:
Applied economics letters
21
(
2014
)
16/18
,
pp. 1243-1251
Persistent link: https://www.econbiz.de/10010465633
Saved in:
5
Beyond reasonable doubt : multiple tail risk measures applied to European industries
Allen, David E.
;
Powell, Robert John
;
Singh, Abhay Kumar
- In:
Applied economics letters
19
(
2012
)
7/9
,
pp. 671-676
Persistent link: https://www.econbiz.de/10009631004
Saved in:
6
Robust value-at-risk : an information-theoretic approach
Simonian, Joseph
;
Davis, Joshua M.
- In:
Applied economics letters
17
(
2010
)
16/18
,
pp. 1551-1553
Persistent link: https://www.econbiz.de/10009232183
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