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subject:"Credit risk"
~subject:"Volatilität"
~isPartOf:"The European journal of finance"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Credit risk
Volatilität
Risikomaß
37
Risk measure
37
Theorie
22
Theory
22
Portfolio selection
19
Portfolio-Management
19
Risikomanagement
13
Risk management
13
Risiko
9
Risk
9
Statistical distribution
9
Statistische Verteilung
9
value-at-risk
9
ARCH model
8
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8
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7
Prognoseverfahren
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Volatility
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Financial crisis
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Finanzkrise
6
Kreditrisiko
5
Systemic risk
5
Systemrisiko
5
risk management
5
Bank risk
4
Bankrisiko
4
Capital income
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Kapitaleinkommen
4
Measurement
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Messung
4
Multivariate Verteilung
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Multivariate distribution
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value at risk
4
Correlation
3
Financial services
3
Finanzdienstleistung
3
Korrelation
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12
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Barone-Adesi, Giovanni
1
Bernard, Carole
1
Bernardi, Mauro
1
Brio, Esther B. del
1
Catania, Leopoldo
1
Chondrogiannis, Ilias
1
Fall, Malick
1
Freeman, Mark
1
Giannopoulos, Kostas
1
Giot, Pierre
1
Han, Chulwoo
1
Kaplanski, Guy
1
Levy, Haim
1
Liu, Ruipeng
1
Lux, Thomas
1
Mitra, Sovan
1
Mora-Valencia, Andrés
1
Perote, Javier
1
Petrella, Lea
1
Rüschendorf, Ludger
1
Segnon, Mawuli
1
Trede, Mark
1
Vanduffel, Steven
1
Vivian, Andrew
1
Viviani, Jean-Laurent
1
Vosper, Les
1
Yao, Jing
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The European journal of finance
Journal of banking & finance
43
Energy economics
36
The North American journal of economics and finance : a journal of financial economics studies
35
Finance research letters
32
Journal of risk
25
International review of financial analysis
22
The journal of risk model validation
22
Economic modelling
21
International journal of forecasting
21
The journal of credit risk : published quarterly by Incisive Media
19
Risks : open access journal
18
Journal of empirical finance
17
Journal of international financial markets, institutions & money
17
Journal of risk and financial management : JRFM
17
Discussion paper / Tinbergen Institute
16
International review of economics & finance : IREF
15
Applied economics
14
Econometric Institute research papers
13
Working paper
13
Computational economics
11
European journal of operational research : EJOR
11
Journal of forecasting
11
Journal of risk management in financial institutions
11
International journal of theoretical and applied finance
10
Research paper series / Swiss Finance Institute
10
Insurance / Mathematics & economics
9
International journal of economics and financial issues : IJEFI
9
Journal of econometrics
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of financial services research : JFSR
8
Pacific-Basin finance journal
8
School of Accounting, Finance and Economics & FEMARC working paper series
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Discussion paper / Deutsche Bundesbank
7
Journal of mathematical finance
7
Swiss Finance Institute Research Paper
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Working papers
7
Discussion paper
6
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ECONIS (ZBW)
12
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1
Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias
;
Freeman, Mark
;
Vivian, Andrew
- In:
The European journal of finance
29
(
2023
)
15
,
pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
Saved in:
2
Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
The European journal of finance
25
(
2019
)
17
,
pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
Saved in:
3
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
Saved in:
4
Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Barone-Adesi, Giovanni
;
Giannopoulos, Kostas
;
Vosper, Les
- In:
The European journal of finance
24
(
2018
)
4/6
,
pp. 413-425
Persistent link: https://www.econbiz.de/10012244329
Saved in:
5
Modeling severity risk under PD-LGD correlation
Han, Chulwoo
- In:
The European journal of finance
23
(
2017
)
13/15
,
pp. 1572-1588
Persistent link: https://www.econbiz.de/10012014695
Saved in:
6
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
7
Are news important to predict the Value-at-Risk?
Bernardi, Mauro
;
Catania, Leopoldo
;
Petrella, Lea
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 535-572
Persistent link: https://www.econbiz.de/10011736300
Saved in:
8
A new multi-factor risk model to evaluate funding liquidity risk of banks
Fall, Malick
;
Viviani, Jean-Laurent
- In:
The European journal of finance
22
(
2016
)
10/12
,
pp. 985-1003
Persistent link: https://www.econbiz.de/10011715289
Saved in:
9
Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy
;
Levy, Haim
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
Saved in:
10
Non-homogeneous volatility correlations in the bivariate multifractal model
Liu, Ruipeng
;
Lux, Thomas
- In:
The European journal of finance
21
(
2015
)
10/12
,
pp. 971-991
Persistent link: https://www.econbiz.de/10011301954
Saved in:
11
The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
Saved in:
12
Market risk models for intraday data
Giot, Pierre
- In:
The European journal of finance
11
(
2005
)
4
,
pp. 309-324
Persistent link: https://www.econbiz.de/10003081478
Saved in:
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