Johanna Ziegel

University of Bern

SCHOLARLY PAPERS

3

DOWNLOADS

243

SSRN CITATIONS
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Top 18,453

in Total Papers Citations

16

CROSSREF CITATIONS

35

Scholarly Papers (3)

1.

Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)

Economic Research Initiatives at Duke (ERID) Working Paper No. 250
Number of pages: 50 Posted: 18 Jul 2017
Andrew J. Patton, Johanna Ziegel and Rui Chen
Duke University - Department of Economics, University of Bern and Duke University
Downloads 122 (250,957)
Citation 19

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Risk Management, Tails, Crashes, Forecasting, Generalized Autoregressive Score

2.

Scenario-Based Risk Evaluation

Number of pages: 37 Posted: 29 Aug 2018 Last Revised: 25 Sep 2019
Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 121 (252,512)
Citation 2

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Scenarios, Risk Measures, Expected Shortfall, Model Uncertainty, Basel Accords, Stress Adjustment, Dependence Adjustment

3.

Coherence and Elicitability

Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Number of pages: 18 Posted: 20 Sep 2016
Johanna Ziegel
University of Bern
Downloads 0 (726,093)
Citation 3
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coherent risk measures, decision theory, elicitability, expected shortfall, expectiles, lawÔÇÉinvariant risk measures, spectral risk measures