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The journal of risk model validation
Economics Bulletin
575
NBER Working Papers
514
MPRA Paper
504
Review of Pacific Basin Financial Markets and Policies (RPBFMP)
296
Insurance / Mathematics & economics
252
Journal of banking & finance
185
Economics Papers from University Paris Dauphine
184
CEPR Discussion Papers
146
European journal of operational research : EJOR
132
Risks : open access journal
129
Journal of risk
125
Finance research letters
114
Discussion paper / Tinbergen Institute
90
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87
NBER working paper series
78
International review of financial analysis
72
Economic modelling
68
Journal of risk and financial management : JRFM
67
Energy economics
66
ECB Working Paper
65
Working paper
62
Quantitative finance
61
Economics Letters
60
Open Access publications from Université Paris-Dauphine
60
The journal of operational risk
60
International journal of theoretical and applied finance
57
Applied economics
55
International journal of forecasting
55
Research paper series / Swiss Finance Institute
54
Journal of empirical finance
53
The North American journal of economics and finance : a journal of financial economics studies
53
Journal of risk management in financial institutions
51
Tinbergen Institute Discussion Papers
51
International Journal of Financial Studies
50
Journal of forecasting
50
Risks
50
Journal of econometrics
47
Computational economics
44
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43
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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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