Gerhard Stahl

European Union - Committee of the Regions

Brussels

Belgium

SCHOLARLY PAPERS

7

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2

CROSSREF CITATIONS

10

Scholarly Papers (7)

1.

On the Accuracy of VAR Estimates Based on the Variance-Covariance Approach

Number of pages: 44 Posted: 03 Oct 1997
Rakhal Dave and Gerhard Stahl
Olsen Financial Technologies and European Union - Committee of the Regions
Downloads 878 (26,113)
Citation 3

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2.

Conceptualizing Robustness in Risk Management

Number of pages: 23 Posted: 24 May 2012 Last Revised: 01 Oct 2015
University of Duisburg-Essen - Faculty of Economic Science, University of Duisburg-Essen - Department of Economics and Business Administration, European Union - Committee of the Regions and Talanx AG
Downloads 406 (71,500)
Citation 9

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risk management, robustness, Wasserstein Metric, risk measures

3.

Evaluating VAR Forecasts Under Stress - the German Experience

CFS Working Paper No. 03-32
Number of pages: 22 Posted: 26 Nov 2003
Stefan R. Jaschke, Gerhard Stahl and Richard Stehle
infinada, European Union - Committee of the Regions and Humboldt University of Berlin - School of Business and Economics
Downloads 366 (80,631)
Citation 3

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banking supervision, VaR, exploratory data analysis, backtesting

4.

Judgmental Versus Quantitative Credit Risk Measures for Sovereigns

Number of pages: 20 Posted: 29 Sep 2011
Risk Control Limited, affiliation not provided to SSRN, affiliation not provided to SSRN and European Union - Committee of the Regions
Downloads 79 (307,240)

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credit risk measures, sovereigns, standard and poor's, sovereign default, downgrades, upgrades

5.

On the Appropriateness of Inappropriate VAR Models

SFB 649 Discussion Paper 2006-003
Number of pages: 26 Posted: 09 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Charles University in Prague and European Union - Committee of the Regions
Downloads 7 (601,596)

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Value-at-Risk, market index model, principal components, random effects model, probability forecast

6.

The Impact of Model Risk on Capital Reserves: A Quantitative Analysis

Journal of Risk, Vol. 17, No. 5, 2015
Number of pages: 30 Posted: 24 Jun 2016
Philip Bertram, Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover, University of Hannover and European Union - Committee of the Regions
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model risk, estimation risk, misspecification risk, Basel multiplication factor, empirical model specification, capital reserves

7.

Backtesting within the Trading Book

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006
Posted: 10 May 2006
Gerhard Stahl, Carsten Wehn and Andreas Zapp
European Union - Committee of the Regions, Deutsche Bundesbank and BaFin

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backtesting, trading book, nested portfolios, trading desks, data matrix, on-site inspections