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Rachev, Svetlozar's
Scholarly Papers
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Total
Downloads
3,018 |
Total
Citations
24 |
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1.
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Chernobai, Anna
University of California, Santa Barbara Menn, Christian
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Trueck, Stefan
Macquarie University Sydney - Department of Economics Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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508
(25,012)
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7
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Operational risk, censored and truncated cata, EM-Algorithm
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2.
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Changes in Migration Matrices and Credit VaR - A New Class of Difference Indices
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Trueck, Stefan
Macquarie University Sydney - Department of Economics Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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317
(35,176)
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Trueck, Stefan
Macquarie University Sydney - Department of Economics Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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317
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Transition Matrices, Matrix Norms, Difference Indices, Rating Migration, Credit VaR
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3.
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Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik d'Addona, Stefano
University of Rome 3 Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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361
(38,657)
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1
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VaR, expected shortfall, stable Paretian laws, extreme value theory
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4.
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Trueck, Stefan
Macquarie University Sydney - Department of Economics Laub, Matthias
Universität Karlsruhe - Inst. für Statistik und math. Wirtschaftstheorie Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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07 Sep 08
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Last Revised:
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17 Sep 08
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270
(54,404)
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1
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Credit Spreads, Credit Default Swaps, Maturity Effects, Reduced Form Models
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5.
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Kim, Young Shin
University of Karlsruhe Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Bianchi, Michele Leonardo
Bank of Italy Fabozzi, Frank J.
EDHEC Business School
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224
(66,632)
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1
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tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk
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6.
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Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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223
(66,960)
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7.
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Trueck, Stefan
Macquarie University Sydney - Department of Economics Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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204
(73,388)
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Credit VaR, Transition Matrices, Rating Migration, Business Cycle, Continuous-time Modeling, PD estimation
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8.
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Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Roll, Richard
University of California, Los Angeles (UCLA) - Finance Area
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157
(94,069)
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9.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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141
(103,380)
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3
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mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier
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10.
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Nooshi, Nima
Karlsruhe Institute of Technology Kim, Young Shin
University of Karlsruhe Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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136
(106,619)
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Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization
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11.
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Stoyanov, Stoyan V.
EDHEC Business School Samorodnitsky, Gennady
Cornell University Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
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131
(110,048)
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stable distributions, heavy tails, coherent risk measures, conditional value-at-risk, expected tail loss
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12.
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Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik d'Addona, Stefano
University of Rome 3 Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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| Posted: |
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17 May 10
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Last Revised:
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19 Dec 11
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110
(126,365)
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13.
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Dokov, Steftcho
affiliation not provided to SSRN Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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76
(161,453)
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3
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skewed-T distribution, value-at-risk, average value-at-risk, conditional value-at-risk
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14.
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Chernobai, Anna
University of California, Santa Barbara Burnecki, Krzysztof
Hugo Steinhaus Center Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Trueck, Stefan
Macquarie University Sydney - Department of Economics Weron, Rafal
Wroclaw University of Technology - Institute of Organization and Management
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55
(192,019)
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Natural Catastrophe, Property Insurance, Loss Distribution, Truncated Data, Ruin Probability
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15.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Racheva-Iotova, Boryana
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School
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48
(204,307)
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Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting
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16.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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38
(224,226)
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Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking
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17.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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16
(289,661)
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1
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average value-at-risk, risk measures, heavy-tails, asymptotic distribution, Monte Carlo method
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18.
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Sun, Wei
affiliation not provided to SSRN Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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2
(336,111)
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19.
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Kring, Sebastian
University of Karlsruhe Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Höchstötter, Markus
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School Bianchi, Michele Leonardo
Bank of Italy
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1
(343,482)
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20.
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Güner, Biliana
Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Edelman, Daniel
Alternative Investment Solutions Fabozzi, Frank J.
EDHEC Business School
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Bayesian methods, hedge fund risk, value-at-risk, MCMC, stable distributions
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21.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Racheva-Iotova, Boryana
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School
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Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement
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22.
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Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA) Stoyanov, Stoyan
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School
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Risk aversion, portfolio choice, investment risk, reward measure, diversification
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23.
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Mitov, Georgi K.
Bulgarian Academy of Science Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Kim, Young Shin
University of Karlsruhe Fabozzi, Frank J.
EDHEC Business School
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Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment
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24.
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Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Schindlmayr, Gero
affiliation not provided to SSRN Trueck, Stefan
Macquarie University Sydney - Department of Economics
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Power Markets, Spot Market Prices, Load Contracts, Risk Management, RAROC
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25.
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Trück, Stefan
Macquarie University Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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transition matrices, VAR, credit portfolios, migration matrices, value-at-risk, loan portfolios, PD, probability default, bootstrapping
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Records 1 -
25
of 25 matches
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