{"id":"https://openalex.org/W2289285309","doi":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","title":"Value at Risk","display_name":"Value at Risk","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2289285309","doi":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","mag":"2289285309"},"language":"en","primary_location":{"id":"doi:10.1016/b978-0-444-50897-3.50013-4","doi":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","is_oa":false,"landing_page_url":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306463230","display_name":"Elsevier eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbook of Financial Econometrics: Tools and Techniques","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W2971743344","display_name":"Handbook of Financial Econometrics: Tools and Techniques"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039946949","display_name":"Christian Gouri\u00e9roux","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Christian Gourieroux","raw_affiliation_strings":["Department of Economics, University of Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5065656973","display_name":"Joann Jasiak","orcid":"https://orcid.org/0000-0002-8980-3429","observed_orcids":["https://orcid.org/0000-0002-8980-3429"]},"institutions":[{"id":"https://openalex.org/I192455969","display_name":"York University","ror":"https://ror.org/05fq50484","country_code":"CA","type":"education","lineage":["https://openalex.org/I192455969"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Joann Jasiak","raw_affiliation_strings":["Department of Economics, York University, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, York University, Toronto, ON, Canada","institution_ids":["https://openalex.org/I192455969"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.1504,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.96976361,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"553","last_page":"615"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6650000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.6650000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.16699999570846558,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.09049999713897705,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8650000095367432},{"id":"https://openalex.org/keywords/extreme-risk","display_name":"extreme risk","score":0.878000020980835},{"id":"https://openalex.org/keywords/risk-measurement","display_name":"risk measurement","score":0.7269999980926514},{"id":"https://openalex.org/keywords/risk-supervision","display_name":"risk supervision","score":0.7799999713897705},{"id":"https://openalex.org/keywords/basel-iii","display_name":"Basel III","score":0.44200000166893005},{"id":"https://openalex.org/keywords/bank-capital-requirements","display_name":"bank capital requirements","score":0.8489999771118164},{"id":"https://openalex.org/keywords/market-risk","display_name":"market risk","score":0.9470000267028809},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":1.0},{"id":"https://openalex.org/keywords/counterparty-risk","display_name":"counterparty risk","score":0.7940000295639038},{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"liquidity risk","score":0.7609999775886536},{"id":"https://openalex.org/keywords/bank-failures","display_name":"bank failures","score":0.6230000257492065},{"id":"https://openalex.org/keywords/derivatives","display_name":"derivatives","score":0.4099999964237213},{"id":"https://openalex.org/keywords/corporate-lending","display_name":"corporate lending","score":0.48500001430511475},{"id":"https://openalex.org/keywords/real-estate-risk","display_name":"real estate risk","score":0.6909999847412109}],"concepts":[{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.6514467000961304},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6086440086364746},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5450028777122498},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.5253728628158569},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.5190637707710266},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.47844579815864563},{"id":"https://openalex.org/C11489865","wikidata":"https://www.wikidata.org/wiki/Q944806","display_name":"Operational risk","level":3,"score":0.47771167755126953},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.4769909977912903},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.4712503254413605},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.45403194427490234},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.44754141569137573},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.41315779089927673},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.37921851873397827},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/b978-0-444-50897-3.50013-4","doi":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","is_oa":false,"landing_page_url":"https://doi.org/10.1016/b978-0-444-50897-3.50013-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306463230","display_name":"Elsevier eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Handbook of Financial Econometrics: Tools and Techniques","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Partnerships for the goals","score":0.41999998688697815,"id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":107,"referenced_works":["https://openalex.org/W19603482","https://openalex.org/W28095915","https://openalex.org/W45605161","https://openalex.org/W51553134","https://openalex.org/W85276539","https://openalex.org/W128533561","https://openalex.org/W641811907","https://openalex.org/W1454038227","https://openalex.org/W1503743918","https://openalex.org/W1516216243","https://openalex.org/W1516220963","https://openalex.org/W1530513302","https://openalex.org/W1531996397","https://openalex.org/W1552916085","https://openalex.org/W1558078758","https://openalex.org/W1592048869","https://openalex.org/W1595244856","https://openalex.org/W1601749653","https://openalex.org/W1960367365","https://openalex.org/W1973484304","https://openalex.org/W1979575715","https://openalex.org/W1980620433","https://openalex.org/W1982735580","https://openalex.org/W1982899954","https://openalex.org/W1985409483","https://openalex.org/W1991614114","https://openalex.org/W1992834568","https://openalex.org/W1993128469","https://openalex.org/W1994193869","https://openalex.org/W1995328092","https://openalex.org/W1997644467","https://openalex.org/W2001322270","https://openalex.org/W2007205489","https://openalex.org/W2017044442","https://openalex.org/W2017865598","https://openalex.org/W2022050125","https://openalex.org/W2036571875","https://openalex.org/W2036983007","https://openalex.org/W2038778860","https://openalex.org/W2040313060","https://openalex.org/W2041600052","https://openalex.org/W2046899013","https://openalex.org/W2062800290","https://openalex.org/W2065389143","https://openalex.org/W2068629725","https://openalex.org/W2069231310","https://openalex.org/W2071322291","https://openalex.org/W2074812030","https://openalex.org/W2076209196","https://openalex.org/W2077791698","https://openalex.org/W2079635539","https://openalex.org/W2083103277","https://openalex.org/W2084716442","https://openalex.org/W2090666275","https://openalex.org/W2094528363","https://openalex.org/W2100298399","https://openalex.org/W2102439862","https://openalex.org/W2103384523","https://openalex.org/W2104070112","https://openalex.org/W2104191808","https://openalex.org/W2105973145","https://openalex.org/W2107946532","https://openalex.org/W2108873762","https://openalex.org/W2109528417","https://openalex.org/W2117447427","https://openalex.org/W2118320330","https://openalex.org/W2125619415","https://openalex.org/W2132072990","https://openalex.org/W2135150595","https://openalex.org/W2140327107","https://openalex.org/W2146288277","https://openalex.org/W2148080284","https://openalex.org/W2150747312","https://openalex.org/W2152278349","https://openalex.org/W2159799204","https://openalex.org/W2169465885","https://openalex.org/W2170206178","https://openalex.org/W2171682970","https://openalex.org/W2178314926","https://openalex.org/W2184797284","https://openalex.org/W2225574294","https://openalex.org/W2294132056","https://openalex.org/W2502254989","https://openalex.org/W2798750840","https://openalex.org/W2907233437","https://openalex.org/W3023478198","https://openalex.org/W3091791300","https://openalex.org/W3121263884","https://openalex.org/W3121796180","https://openalex.org/W3122070600","https://openalex.org/W3122084409","https://openalex.org/W3122467650","https://openalex.org/W3122615767","https://openalex.org/W3122744633","https://openalex.org/W3123588014","https://openalex.org/W3123833529","https://openalex.org/W3124120707","https://openalex.org/W3125196838","https://openalex.org/W3125246470","https://openalex.org/W3125617313","https://openalex.org/W3125744792","https://openalex.org/W4205598956","https://openalex.org/W4238035223","https://openalex.org/W4241653265","https://openalex.org/W4246717377","https://openalex.org/W4285719527","https://openalex.org/W6630121183"],"related_works":["https://openalex.org/W2464485169","https://openalex.org/W2380033408","https://openalex.org/W2064322309","https://openalex.org/W4400837087","https://openalex.org/W2993875703","https://openalex.org/W25193074","https://openalex.org/W1551275368","https://openalex.org/W1607599440","https://openalex.org/W2189615460","https://openalex.org/W2478899696"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}