Johanna Ziegel

University of Bern

SCHOLARLY PAPERS

6

DOWNLOADS

407

SSRN CITATIONS
Rank 16,160

SSRN RANKINGS

Top 16,160

in Total Papers Citations

33

CROSSREF CITATIONS

35

Scholarly Papers (6)

1.

Scenario-Based Risk Evaluation

Finance and Stochastics, forthcoming
Number of pages: 33 Posted: 29 Aug 2018 Last Revised: 04 May 2021
Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 181 (250,738)
Citation 2

Abstract:

Loading...

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

2.

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 153 (289,205)
Citation 32

Abstract:

Loading...

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

3.

E-backtesting

Number of pages: 58 Posted: 22 Sep 2022
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 25 (729,741)

Abstract:

Loading...

E-values, e-processes, Expected Shortfall, Value-at-Risk, martingales

4.

Simulation and Data Analysis for E-backtesting

Number of pages: 27 Posted: 02 Feb 2023
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 23 (746,041)

Abstract:

Loading...

E-values, E-processes, Expected Shortfall, Value-at-Risk

5.

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 23 (746,041)
Citation 6

Abstract:

Loading...

coherent risk measures, decision theory, elicitability, expected shortfall, expectiles, lawÔÇÉinvariant risk measures, spectral risk measures

6.

Estimating Several Survival Functions Under Uniform Stochastic Ordering

Number of pages: 12 Posted: 13 Oct 2022
University of Bern, City University of New York (CUNY) - Paul H. Chook Department of Information Systems & Statistics, Wichita State University and University of Bern
Downloads 2 (949,922)

Abstract:

Loading...

censoring, Consistency, Estimation, uniform stochastic order, hazard rate order, order constraint