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Journal of Banking and Finance, ISSN 0378-4266, 12/2013, Volume 37, Issue 12, pp. 5526 - 5537
We study portfolio selection under Conditional Value-at-Risk and, as its natural extension, spectral risk measures, and compare it with traditional... 
Conditional Value-at-Risk | Efficient frontier | Spectral risk measures | Comonotonicity | Optimal portfolio | Portfolio selection | REPRESENTATION | SHORTFALL | MODEL | BUSINESS, FINANCE | CONSTRAINTS | AVERSION | ECONOMICS
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 09/2017, Volume 43, pp. 1 - 32
Journal Article
01/2019, ISBN 3038974447
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the... 
risk assessment | VIX | business groups | SHARE | asymptotic approximation | European stock markets | whole life insurance | dynamic hedging | risk-neutral distribution | cooperative banks | Data Envelopment Analysis (DEA) | group-affiliated | early warning system | factor models | smoothing process | GMC | falsified products | S&P 500 index options | credit derivatives | corporate sustainability | term life insurance | risk management | crude oil | financial stability | social efficiency | dynamic conditional correlation | emerging market | out-of-sample forecast | financial crisis | binomial tree | news release | green energy | perceived usefulness | Bayesian approach | two-level optimization | probability of default | bank risk | SYMBOL | information asymmetry | CoVaR | probabilistic cash flow | japonica rice production | bank profitability | Monte Carlo Simulations | gain-loss ratio | coherent risk measures | Mezzanine Financing | national health system | option value | conscientiousness | online purchase intention | Slovak enterprises | spot and futures prices | liquidity premium | institutional voids | utility | random forests | bankruptcy | optimizing financial model | sustainable food security system | dynamic panel | co-dependence modelling | financial performance | time-varying correlations | Project Financing | future health risk | generalized autoregressive score functions | volatility spillovers | financial risks | simulations | life insurance | emotion | finance risk | markov regime switching | diversification | production frontier function | Granger causality | health risk | risks mitigation | returns and volatility | sadness | low-income country | the sudden stop of capital inflow | bank failure | China’s food policy | objective health status | IPO underpricing | polarity | climate change | stock return volatility | sentiment analysis | empirical process | full BEKK | stochastic frontier model | perceived ease of use | volatility transmission | openness to experience | sustainability | low carbon targets | quasi likelihood ratio (QLR) test | banking regulation | sustainable development | specification testing | fossil fuels | time-varying copula function | tree structures | monthly CPI data | coal | cartel | regular vine copulas | sustainability of economic recovery | ANN | EGARCH-m | financial security | leniency program | financial hazard map | uncertainty termination | causal path | stakeholder theory | technological progress | banking | investment horizon | regression model | two-level CES function | joy | the optimal scale of foreign exchange reserve | carbon emissions | stochastic volatility | B-splines | self-perceived health | sovereign credit default swap (SCDS) | RV5MIN | utility maximization | credit risk | policy simulation | socially responsible investment | portfolio selection | scientific verification | European banking system | risk-free rate | wild bootstrap | medication | investment profitability | Amihud’s illiquidity ratio | multivariate regime-switching | inflation forecast | risk aversion | market timing | need hierarchy theory | variance | diagonal BEKK | conjugate prior | risk | moving averages | financial risk | risk measures
eBook
Stochastic Processes and their Applications, ISSN 0304-4149, 07/2016, Volume 126, Issue 7, pp. 2014 - 2037
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional... 
Conditional systemic risk measure | Conditional aggregation | Conditional expected short fall | Risk-consistent properties | Conditional value at risk
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 2007, Volume 182, Issue 1, pp. 226 - 238
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 2005, Volume 163, Issue 1, pp. 5 - 19
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 2002, Volume 26, Issue 7, pp. 1253 - 1272
Journal Article
International Journal of Production Research, ISSN 0020-7543, 03/2014, Volume 52, Issue 6, pp. 1843 - 1867
Journal Article
Methodology and Computing in Applied Probability, ISSN 1387-5841, 6/2018, Volume 20, Issue 2, pp. 673 - 698
Journal Article
2017, Civil infrastructure health and sustainability, ISBN 1482208334, xxiv, 507 pages
This book explains and presents the need for Multihazard Consideration (MH) in the management of civil infrastructure, what constitutes MH, and how to address... 
Infrastructure (Economics) | Prevention | Risk assessment | Safety measures | Emergency management | Hazard mitigation | Public works | Accidents | Reliability (Engineering) | Engineering Management | Georisk & Hazards | bayesian | CivilEngineeringnetBASE | conditional | STMnetBASE | SCI-TECHnetBASE | probability | health | ist | networks | network | ENGnetBASE | tables | structural | model
Book
Insurance: Mathematics and Economics, ISSN 0167-6687, 11/2016, Volume 71, pp. 332 - 341
Journal Article
Journal of Forecasting, ISSN 0277-6693, 04/2016, Volume 35, Issue 3, pp. 224 - 249
This article proposes intraday high‐frequency risk (HFR) measures for market risk in the case of irregularly spaced high‐frequency data. In this context, we... 
value at risk | time at risk | high‐frequency risk measure | backtesting | high-frequency risk measure | MANAGEMENT | PRICE ADJUSTMENT | SCORE MODELS | RETURNS | PATTERNS | TIME | AUTOREGRESSIVE CONDITIONAL DURATION | TRANSACTION DATA | GARCH | ECONOMICS | VOLATILITY | Economic forecasting | Forecasts and trends | Financial risk | Methods | Economic models
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 05/2019, Volume 86, pp. 145 - 157
Journal Article