EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • EN 
    • DE
    • ES
    • FR
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  • EN 
    • DE
    • ES
    • FR
  •  My account 
    • Logout
    • Change account settings
  • Login
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"LPM (Lower Partial Moments)"
Narrow search

Narrow search

Year of publication
Subjects
All
Risikomaß 2,524 Risk measure 2,524 Theorie 879 Theory 879 Portfolio selection 627 Portfolio-Management 627 Risikomanagement 522 Risk management 505 ARCH model 251 ARCH-Modell 251 USA 247 United States 245 Kreditrisiko 242 Volatility 241 Volatilität 241 Credit risk 240 Schätzung 198 Estimation 197 Basel Accord 190 Basler Akkord 190 Forecasting model 164 Prognoseverfahren 164 Statistical distribution 157 Statistische Verteilung 157 Bank risk 146 Bankrisiko 146 Capital income 138 Kapitaleinkommen 138 Welt 134 World 134 Messung 127 Deutschland 126 Risiko 125 Germany 124 Risk 120 Measurement 118 Bank 108 Finanzkrise 100 Financial crisis 99 Aktienmarkt 94
more ... less ...
Online availability
All
Free 494 Undetermined 20
Type of publication
All
Article 1,655 Book / Working Paper 869
Type of publication (narrower categories)
All
Article in journal 1,367 Aufsatz in Zeitschriften 1,367 Graue Literatur 650 Non-commercial literature 650 Arbeitspapier 573 Working Paper 573 Article in book 273 Aufsatz im Buch 273 Hochschulschrift 162 Dissertation 157 Thesis 157 Collection of articles of several authors 36 Sammelwerk 36 Collection of articles written by one author 24 Sammlung 24 Lehrbuch 16 Case study 12 Fallstudie 12 Aufsatzsammlung 7 Handbook 7 Handbuch 7 Bibliographie enthalten 6 Bibliography included 6 Survey 5 Übersichtsarbeit 5 Amtsdruckschrift 3 Congress report 3 Glossar enthalten 3 Glossary included 3 Government document 3 Kongressschrift 3 Mehrbändiges Werk 3 Multi-volume publication 3 Kongress 2 Accompanied by computer file 1 Bibliographie 1 CD-ROM, DVD 1 Elektronischer Datenträger als Beilage 1 Forschungsbericht 1 Konferenzschrift 1
more ... less ...
Language
All
English 2,153 German 330 Spanish 15 French 14 Polish 5 Italian 4 Czech 1 Croatian 1 Portuguese 1 Undetermined 1
more ... less ...
Persons
All
McAleer, Michael 67 Pérez Amaral, Teodosio 28 Allen, David E. 27 Chang, Chia-Lin 20 Giot, Pierre 20 Jiménez-Martín, Juan-Ángel 20 Huschens, Stefan 19 Härdle, Wolfgang 19 Daníelsson, Jón 18 Dowd, Kevin 17 Powell, Robert 16 Vries, Casper G. de 16 Fabozzi, Frank J. 15 Račev, Svetlozar T. 14 Albrecht, Peter 13 Gouriéroux, Christian 12 Janabi, Mazin A. M. al 12 Straßberger, Mario 12 Yamai, Yasuhiro 11 Yoshiba, Toshinao 11 Locarek-Junge, Hermann 10 Mittnik, Stefan 10 Paolella, Marc S. 10 Bali, Turan G. 9 Bauwens, Luc 9 Caporin, Massimiliano 9 Christoffersen, Peter F. 9 Degiannakis, Stavros 9 Hammoudeh, Shawkat 9 Angelidis, Timotheos 8 Broll, Udo 8 Csóka, Péter 8 Fortin, Ines 8 Kaserer, Christoph 8 Rengifo, Erick W. 8 Wahl, Jack E. 8 Adrian, Tobias 7 Alexander, Gordon J. 7 Asai, Manabu 7 Barone-Adesi, Giovanni 7
more ... less ...
Institutions
All
Basel Committee on Banking Supervision 5 Springer Fachmedien Wiesbaden GmbH 5 University of Canterbury / Dept. of Economics and Finance 4 Pensions Institute 3 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 3 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 3 Federal Reserve Bank of San Francisco 2 International Center for Financial Asset Management and Engineering 2 Springer-Verlag GmbH 2 BWV Berliner Wissenschafts-Verlag GmbH 1 Banco Central do Brasil 1 Bank-Verlag GmbH 1 Boston College / Department of Economics 1 Center for Economic Research <Tilburg> 1 Columbia University / Graduate School of Business 1 Eidgenössische Technische Hochschule Zürich 1 Escola de Pós-Graduação em Economia <Rio de Janeiro> 1 Federal Reserve Bank of St. Louis 1 Frankfurt School Verlag GmbH 1 Friedrich-Schiller-Universität Jena / Wirtschaftswissenschaftliche Fakultät 1 HFDF <2, 1998, Zürich> 1 Harvard Institute for International Development 1 Institutionen för Nationalekonomi <Ume°a> 1 Instituto Valenciano de Investigaciones Económicas 1 Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe> 1 Massachusetts Institute of Technology / Department of Economics 1 Melbourne Business School 1 Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom> 1 The Wharton Financial Institutions Center 1 University of York / Department of Economics and Related Studies 1 Università degli studi di Roma "La Sapienza" 1 Universität Mannheim 1 Université de Lausanne / Institut de gestion bancaire et financière 1 Verlag Dr. Kovač 1 Verlag Wissenschaft & Praxis Dr. Brauner GmbH 1 Walter de Gruyter GmbH & Co. KG 1 Wiley-VCH 1 Österreichische Nationalbank 1 Österreichische Nationalbank / Abteilung für Finanzmarktanalyse 1
more ... less ...
Published in...
All
Journal of banking & finance 91 Journal of risk 55 Discussion paper 44 The journal of risk model validation 29 Econometric Institute research papers 26 Journal of risk management in financial institutions 25 International review of financial analysis 23 International journal of theoretical and applied finance 22 European journal of operational research : EJOR 21 SFB 649 discussion paper 19 The journal of risk and insurance : the journal of the American Risk and Insurance Association 19 Working paper 19 International journal of risk assessment and management : IJRAM 18 Journal of empirical finance 18 The VaR implementation handbook 18 Working paper / Department of Economics and Finance, College of Business and Economics, University of Canterbury 18 Energy economics 17 The journal of derivatives : the official publication of the International Association of Financial Engineers 16 The journal of operational risk 16 Economic modelling 15 Mathematical finance : an international journal of mathematics, statistics and financial theory 15 Working papers 15 Dresdner Beiträge zu quantitativen Verfahren 14 Journal / The Capco Institute : journal of financial transformation 14 Journal of financial econometrics : official journal of the Society for Financial Econometrics 14 The journal of alternative investments 14 Journal of forecasting 13 Finance research letters 12 Insurance 12 The North American journal of economics and finance : a journal of financial economics studies 12 Applied financial economics 11 CORE discussion papers : DP 11 Finance and stochastics 11 International journal of forecasting 11 Journal of economic dynamics & control 11 Research paper series 11 School of Accounting, Finance and Economics & FEMARC working paper series 11 The journal of credit risk : published quarterly by Incisive Media 11 The journal of fixed income 11 Applied quantitative finance 10
more ... less ...
Sources
All
ECONIS (ZBW) 2,524
Showing 1 - 50 of 2,524
Cover Image
Risikomaße
Huschens, Stefan - 2017
Saved in:
Cover Image
The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with variance-covariance based risk analysis. Considering the...
Saved in:
Cover Image
Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
Saved in:
Cover Image
Heterogeneity of bank risk weights in the EU : evidence by asset class and country of counterparty exposure
Ariss, Rima Turk - 2017
Preview
Preview
Saved in:
Cover Image
Basel compliance and financial stability : evidence from Islamic banks
Bitar, Mohammad; Ben Naceur, Samy; Ayadi, Rym; Walker, … - 2017
Preview
Preview
Saved in:
Cover Image
A semiparametric nonlinear quantile regression model for financial returns
Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE : … 21 (2017) 1, pp. 81-97
Saved in:
Cover Image
Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review 7 (2017) 2, pp. 215-230
Saved in:
Cover Image
Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...
Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29
Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...
Saved in:
Cover Image
A robust approach to hedging and pricing in imperfect markets
Assa, Hirbod; Gospodinov, Nikolaj - In: Risks : open access journal 5 (2017) 3, pp. 1-20
This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures...
Saved in:
Cover Image
The case of "less is more" : modelling risk-preference with expected downside risk
Ormos, Mihály; Timotity, Dusán - In: The B.E. journal of theoretical economics 17 (2017) 2, pp. 1-14
Saved in:
Cover Image
Models with short-term variations and long-term dynamics in risk management of commodity derivatives
Guo, Zi-Yi - 2017 - This version: February 2017
We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...
Saved in:
Cover Image
Ryzyko systemu finansowego : metody oceny i ich weryfikacja w wybranych krajach
Jajuga, Krzysztof; Karaś, Marta; Kuziak, Katarzyna; … - 2017
Saved in:
Cover Image
Measuring expected time to default under stress conditions for corporate loans
Górajski, Mariusz; Serwa, Dobromił; Wośko, Zuzanna - 2016
Saved in:
Cover Image
What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors
Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...
Saved in:
Cover Image
Optimal portfolio selection with and without risk-free asset
Kan, Raymond; Wang, Xiaolu; Zhou, Guofu - 2016 - Current version: March, 2016
Saved in:
Cover Image
Essays on the Foster-Hart measure of riskiness and ambiguity in real options games
Hellmann, Tobias - 2016
Saved in:
Cover Image
On the role of financial derivatives for the genesis and analysis of volatility in commodity markets
Schlüßler, Kristina - 2016
Seit der Nahrungsmittelpreiskrise 2007/08 ist die Volatilität von Nahrungsmittelpreisen wieder als wichtiges Thema in der politischen Diskussion aufgetaucht. Nicht nur die Beobachtung eines steigenden Preisniveaus, sondern auch der scheinbare Anstieg der Volatilität auf Schlüsselmärkten (vor...
Saved in:
Cover Image
Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...
Saved in:
Cover Image
Liquiditätsportfoliomanagement - ertragsorientierte Steuerung der bankbetrieblichen Liquidität
Sonntag, Manuel - 2016
Saved in:
Cover Image
Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.
López Cabrera, Brenda; Schulz, Franziska - 2016
The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...
Saved in:
Cover Image
Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Urjasʹev, … - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14
The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...
Saved in:
Cover Image
Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Saved in:
Cover Image
VaR and CVaR implied in option prices
Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6
VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...
Saved in:
Cover Image
New backtests for unconditional coverage of the expected shortfall
Löser, Robert; Wied, Dominik; Ziggel, Daniel - 2016
Saved in:
Cover Image
Dynamic topic modelling for cryptocurrency community forums
Linton, Marco; Teo, Ernie Gin Swee; Bommes, Elisabeth; … - 2016
Cryptocurrencies are more and more used in official cash ows and exchange of goods. Bitcoin and the underlying blockchain technology have been looked at by big companies that are adopting and investing in this technology. The CRIX Index of cryptocurrencies hu.berlin/CRIX indicates a wider...
Saved in:
Cover Image
On the value of portfolio optimization in the presence of estimation risk : the case with and without risk-free asset
Kan, Raymond; Wang, Xiaolu; Zhou, Guofu - 2016 - Current version: August, 2016
Saved in:
Cover Image
Topic in nonparametric identification and estimation
Hubner, Stefan - 2016
Saved in:
Cover Image
Variance reduced value at risk Monte-Carlo simulations
Müller, Armin - 2016
Saved in:
Cover Image
Nested MC-based risk measurement of complex portfolios : acceleration and energy efficiency
Desmettre, Sascha; Korn, Ralf; Varela, Javier Alejandro; … - In: Risks : open access journal 4 (2016) 4, pp. 1-35
Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis. In this regard, we approach the estimation of the widely-employed...
Saved in:
Cover Image
Time varying quantile Lasso
Zbonakova, Lenka; Härdle, Wolfgang; Wang, Weining - 2016
In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...
Saved in:
Cover Image
How to measure whether index insurance provides reliable protection
Morsink, Karlijn; Clarke, Daniel; Mapfumo, Shadreck - 2016
Saved in:
Cover Image
How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...
Saved in:
Cover Image
Risk measure estimates in quiet and turbulent times : an empirical study
Chotard, Rosnan; Dacorogna, Michel M.; Kratz, Marie - 2016
Saved in:
Cover Image
Risk management : the revealing hand
Kaplan, Robert S.; Mikes, Anette - 2016
Saved in:
Cover Image
Is socially responsible investing more risky? : Australian evidence
Mackie, Ewan; Palit, Imon; Veeraraghavan, Madhu; … - In: Sustainability and social responsibility : regulation …, (pp. 261-305). 2018
Saved in:
Cover Image
Marktrisiken : Portfoliotheorie und Risikomaße
Kremer, Jürgen - 2018
Preview
Preview
Saved in:
Cover Image
Risikomanagement für heterogene Finanzportfolios
Moys, Gunnar - 2018
Preview
Preview
Saved in:
Cover Image
Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at risk and expected shortfall are calculated on a...
Saved in:
Cover Image
Risk management optimization for sovereign debt restructuring
Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of globalization and development 6 (2015) 2, pp. 181-213
Saved in:
Cover Image
Non-normality in financial markets and the measurement of risk
Lau, Christian - 2015
Diese Dissertation ist in drei Kapitel sowie eine Einleitung unterteilt. Die Einleitung führt in das Themengebiet ein, fasst die Kapitel zusammen und zeigt deren Zusammenhänge auf. Jedes Kapitel beschäftigt sich mit der Analyse von Finanzzeitreihen. Dabei wird insbesondere den „stylized...
Saved in:
Cover Image
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...
Saved in:
Cover Image
Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Saved in:
Cover Image
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Saved in:
Cover Image
Asymmetric GARCH value-at-risk over MSCI in financial crisis
Huang, Han-Ching; Su, Yong-chern; Tsui, Jen-Tien - In: International journal of economics and financial issues … 5 (2015) 2, pp. 390-398
Saved in:
Cover Image
Explicit diversification benefit for dependent risks
Dacorogna, Michel M.; Elbahtouri, Laila; Kratz, Marie - 2015
Saved in:
Cover Image
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - 2015
Saved in:
Cover Image
Fair risk allocation in illiquid markets
Csóka, Péter - 2015
Let us consider a financially constrained leveraged financial firm having some divisions which have invested into some risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the capital requirement of the firm itself, there is some...
Preview
Preview
Saved in:
Cover Image
Essays on risk assessment and risk management
Althaus, Thomas Rolf - 2015
Diese Dissertation besteht aus drei Aufsätzen, welche Themen aus dem Bereich Risiko-Beurteilung und Risiko-Management behandeln. Der erste Aufsatz in Kapitel 1 analysiert die Risikodynamik von Hedge Funds, indem neue Faktoren zur Risikobeurteilung eingeführt werden. Der zweite Aufsatz in...
Saved in:
Cover Image
Portfolio risk forecasting - on the predictive power of multivariate dynamic copula models
Aepli, Matthias Daniel - 2015
Saved in:
Cover Image
Bank capital shock propagation via syndicated interconnectedness
Nirei, Makoto; Caballero, Julián; Sushko, Vladyslav - 2015
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
A service of the
zbw
Questions? Chat with us

Questions? Chat with us

Loading...
 Searching for statistics or facts?
  • Sitemap
  • Contact us
  • Imprint
  • Privacy

Loading...