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~isPartOf:"The journal of risk model validation"
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The journal of risk model validation
Insurance / Mathematics & economics
252
Journal of banking & finance
183
European journal of operational research : EJOR
132
Journal of risk
125
Risks : open access journal
124
Finance research letters
114
International review of financial analysis
72
Economic modelling
69
Discussion paper / Tinbergen Institute
64
The journal of operational risk
64
Energy economics
63
Quantitative finance
61
International journal of theoretical and applied finance
56
Applied economics
55
International journal of forecasting
55
Journal of risk and financial management : JRFM
55
The North American journal of economics and finance : a journal of financial economics studies
53
Journal of empirical finance
52
Journal of risk management in financial institutions
52
Journal of forecasting
50
Journal of econometrics
47
Computational economics
44
The European journal of finance
42
Scandinavian actuarial journal
41
Research in international business and finance
39
International review of economics & finance : IREF
38
Working paper
38
Finance and stochastics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
Operations research
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Applied economics letters
33
Operations research letters
33
SFB 649 discussion paper
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ECONIS (ZBW)
67
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1
Risk contagion and bank stability : the role of credit risk and liquidity risk
Ding, Lei
;
Zhuang, Yaming
;
Wang, Hu
- In:
The journal of risk model validation
16
(
2022
)
4
,
pp. 113-130
Persistent link: https://www.econbiz.de/10014239855
Saved in:
2
The performance of value-at-risk models during the crisis
Skoglund, Jimmy
;
Erdman, Donald
;
Chen, Wei
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 3-21
Persistent link: https://www.econbiz.de/10003971967
Saved in:
3
Value-at-risk forecasts : a comparison analysis of extreme-value versus classical approaches
Ünal, Gözde
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 59-76
Persistent link: https://www.econbiz.de/10009356742
Saved in:
4
Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
Saved in:
5
Capturing value-at-risk in futures markets : a revised filtered historical simulation approach
Changchien, Chang-cheng
;
Lin, Chu-Hsiung
;
Kao, Wei-shun
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 67-93
Persistent link: https://www.econbiz.de/10009692956
Saved in:
6
Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
;
Sookia, Noor
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 95-111
Persistent link: https://www.econbiz.de/10009692959
Saved in:
7
Backtesting value-at-risk : a comparison between filtered bootstrap and historical simulation
Brandolini, Dario
;
Colucci, Stefano
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 3-16
Persistent link: https://www.econbiz.de/10009692964
Saved in:
8
Backtesting value-at-risk tail losses on a dynamic portfolio
Graham, Alasdair
;
Pál, János
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 59-96
Persistent link: https://www.econbiz.de/10010394657
Saved in:
9
An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions
Fischer, Matthias
;
Kaufmann, Florian
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10010394659
Saved in:
10
Comparative analysis of credit risk models for loan portfolios
Han, Chulwoo
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 3-22
Persistent link: https://www.econbiz.de/10010394661
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