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TWO-COMPONENT EXTREME VALUE DI...
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Risikomaß
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Risk measure
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Vanduffel, Steven
McAleer, Michael
140
Allen, David E.
56
Härdle, Wolfgang
49
Wang, Ruodu
48
Chang, Chia-Lin
45
Daníelsson, Jón
41
Stoja, Evarist
37
Vries, Casper G. de
36
Hammoudeh, Shawkat
35
Pérez Amaral, Teodosio
32
Dowd, Kevin
31
Fabozzi, Frank J.
31
Gerlach, Richard
27
Polanski, Arnold
27
Embrechts, Paul
26
Jiménez-Martín, Juan-Ángel
26
Paolella, Marc S.
25
Rüschendorf, Ludger
25
Giot, Pierre
24
Lucas, André
24
Mittnik, Stefan
24
Powell, Robert
24
Ardia, David
23
Caporin, Massimiliano
23
Rosazza Gianin, Emanuela
23
Huschens, Stefan
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Righi, Marcelo Brutti
22
Wied, Dominik
21
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20
Gouriéroux, Christian
20
Stoyanov, Stoyan V.
19
Albrecht, Peter
18
Bernard, Carole
18
Brandtner, Mario
18
Dionne, Georges
18
Hoogerheide, Lennart F.
18
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The journal of risk and insurance : the journal of the American Risk and Insurance Association
3
AFI
2
Discussion paper / The Pensions Institute, Cass Business School, City University
2
Insurance / Mathematics & economics
2
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
2
Scandinavian actuarial journal
2
Finance and stochastics
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Journal of banking & finance
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ECONIS (ZBW)
27
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1
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
2
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
3
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
4
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
5
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:
6
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
7
Value-at-risk bounds with variance constraints
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
3
,
pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
Saved in:
8
Optimal capital allocation principles
Dhaene, Jan
;
Tsanakas, Andreas
;
Valdez, Emiliano
; …
-
2009
Persistent link: https://www.econbiz.de/10009126885
Saved in:
9
Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.
;
Rüschendorf, Ludger
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
Saved in:
10
Comparing approximations for risk measures of sums of non-independent lognormal random variables
Vanduffel, Steven
;
Hoedemakers, Tom
;
Dhaene, Jan
-
2004
Persistent link: https://www.econbiz.de/10002153412
Saved in:
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