{"id":"https://openalex.org/W3122567404","doi":"https://doi.org/10.1080/1351847x.2015.1104370","title":"How Robust is the Value-at-Risk of Credit Risk Portfolios?","display_name":"How Robust is the Value-at-Risk of Credit Risk Portfolios?","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W3122567404","doi":"https://doi.org/10.1080/1351847x.2015.1104370","mag":"3122567404"},"language":"en","primary_location":{"id":"doi:10.1080/1351847x.2015.1104370","doi":"https://doi.org/10.1080/1351847x.2015.1104370","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1351847x.2015.1104370","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2570782","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5032694339","display_name":"Carole Bernard","orcid":"https://orcid.org/0000-0002-3996-9260","observed_orcids":["https://orcid.org/0000-0002-3996-9260"]},"institutions":[{"id":"https://openalex.org/I68666633","display_name":"Grenoble Ecole de Management","ror":"https://ror.org/01h4fxd96","country_code":"FR","type":"education","lineage":["https://openalex.org/I68666633"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Carole Bernard","raw_affiliation_strings":["Grenoble Ecole de Management, Department of Accounting, Law and Finance, 12 rue Pierre S\u00e9mard, 38003Grenoble cedex 01, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Grenoble Ecole de Management, Department of Accounting, Law and Finance, 12 rue Pierre S\u00e9mard, 38003Grenoble cedex 01, France","institution_ids":["https://openalex.org/I68666633"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072524612","display_name":"Ludger R\u00fcschendorf","orcid":"https://orcid.org/0000-0003-1420-2829","observed_orcids":["https://orcid.org/0000-0003-1420-2829"]},"institutions":[{"id":"https://openalex.org/I161046081","display_name":"University of Freiburg","ror":"https://ror.org/0245cg223","country_code":"DE","type":"education","lineage":["https://openalex.org/I161046081"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Ludger R\u00fcschendorf","raw_affiliation_strings":["Department of Mathematical Stochastics, University of Freiburg, Eckerstra\u00dfe 1, 79104Freiburg, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Stochastics, University of Freiburg, Eckerstra\u00dfe 1, 79104Freiburg, Germany","institution_ids":["https://openalex.org/I161046081"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5053679947","display_name":"Steven Vanduffel","orcid":"https://orcid.org/0000-0003-0511-1044","observed_orcids":["https://orcid.org/0000-0003-0511-1044"]},"institutions":[{"id":"https://openalex.org/I13469542","display_name":"Vrije Universiteit Brussel","ror":"https://ror.org/006e5kg04","country_code":"BE","type":"education","lineage":["https://openalex.org/I13469542"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"Steven Vanduffel","raw_affiliation_strings":["Department of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium","institution_ids":["https://openalex.org/I13469542"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054368351","display_name":"Jing Yao","orcid":"https://orcid.org/0000-0002-8936-2600","observed_orcids":["https://orcid.org/0000-0002-8936-2600"]},"institutions":[{"id":"https://openalex.org/I13469542","display_name":"Vrije Universiteit Brussel","ror":"https://ror.org/006e5kg04","country_code":"BE","type":"education","lineage":["https://openalex.org/I13469542"]}],"countries":["BE"],"is_corresponding":true,"raw_author_name":"Jing Yao","raw_affiliation_strings":["Department of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles, Belgium","institution_ids":["https://openalex.org/I13469542"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5054368351"],"corresponding_institution_ids":["https://openalex.org/I13469542"],"apc_list":null,"apc_paid":null,"fwci":8.2857,"has_fulltext":false,"cited_by_count":47,"citation_normalized_percentile":{"value":0.97349199,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"23","issue":"6","first_page":"507","last_page":"534"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5429999828338623,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5429999828338623,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.35519999265670776,"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/T11720","display_name":"Probability and Risk Models","score":0.03220000118017197,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"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":0.9900000095367432},{"id":"https://openalex.org/keywords/model-uncertainty","display_name":"model uncertainty","score":0.9940000176429749},{"id":"https://openalex.org/keywords/rearrangement-algorithm","display_name":"rearrangement algorithm","score":0.9869999885559082},{"id":"https://openalex.org/keywords/higher-order-moments","display_name":"higher-order moments","score":0.8460000157356262},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.5730000138282776},{"id":"https://openalex.org/keywords/loan-portfolio","display_name":"loan portfolio","score":0.3449999988079071},{"id":"https://openalex.org/keywords/solvency-ii","display_name":"Solvency II","score":0.7730000019073486},{"id":"https://openalex.org/keywords/basel-iii","display_name":"Basel III","score":0.8999999761581421}],"concepts":[{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.7057733535766602},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6724444627761841},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6114395260810852},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5847121477127075},{"id":"https://openalex.org/C2778215004","wikidata":"https://www.wikidata.org/wiki/Q1137437","display_name":"Solvency","level":3,"score":0.5492366552352905},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.513948380947113},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.49060407280921936},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.45249930024147034},{"id":"https://openalex.org/C4679612","wikidata":"https://www.wikidata.org/wiki/Q866298","display_name":"Aggregate (composite)","level":2,"score":0.43103283643722534},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3875081241130829},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3511522114276886},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3208986222743988},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.1985672414302826},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1457841396331787},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.11006894707679749},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1080/1351847x.2015.1104370","doi":"https://doi.org/10.1080/1351847x.2015.1104370","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1351847x.2015.1104370","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2570782","doi":"https://doi.org/10.2139/ssrn.2570782","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2570782","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:eurjfi:v:23:y:2017:i:6:p:507-534","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/1351847X.2015.1104370","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:vubissmart:VUBISSMART:2000:99010","doi":null,"is_oa":false,"landing_page_url":"https://biblio.vub.ac.be/vubir/how-robust-is-the-valueatrisk-of-credit-risk-portfolios(4f92774e-e704-480e-b175-257b1390bf4c).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306402573","display_name":"VUBIR (Vrije Universiteit Brussel)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I13469542","host_organization_name":"Vrije Universiteit Brussel","host_organization_lineage":["https://openalex.org/I13469542"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2570782","doi":"https://doi.org/10.2139/ssrn.2570782","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2570782","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W55183739","https://openalex.org/W85449395","https://openalex.org/W153862350","https://openalex.org/W1484731111","https://openalex.org/W1508957056","https://openalex.org/W1542184596","https://openalex.org/W1595561105","https://openalex.org/W1647779468","https://openalex.org/W1808176545","https://openalex.org/W1864361486","https://openalex.org/W1902381248","https://openalex.org/W1965593308","https://openalex.org/W1977427664","https://openalex.org/W2003618446","https://openalex.org/W2005513503","https://openalex.org/W2015420430","https://openalex.org/W2050598159","https://openalex.org/W2053441456","https://openalex.org/W2055284709","https://openalex.org/W2072282266","https://openalex.org/W2088990339","https://openalex.org/W2094986934","https://openalex.org/W2105039658","https://openalex.org/W2109122936","https://openalex.org/W2121464276","https://openalex.org/W2129791887","https://openalex.org/W2156812602","https://openalex.org/W2162009166","https://openalex.org/W2165884774","https://openalex.org/W2184205323","https://openalex.org/W2252702444","https://openalex.org/W2313814802","https://openalex.org/W2338972898","https://openalex.org/W2441852609","https://openalex.org/W2527109990","https://openalex.org/W2787147383","https://openalex.org/W3121431363","https://openalex.org/W3122536762","https://openalex.org/W3122622414","https://openalex.org/W3123984597","https://openalex.org/W3125327354","https://openalex.org/W3125666750","https://openalex.org/W3125738051","https://openalex.org/W4245777296","https://openalex.org/W4252866286"],"related_works":["https://openalex.org/W2162009166","https://openalex.org/W7100429028","https://openalex.org/W2133287297","https://openalex.org/W2115029961","https://openalex.org/W425495423","https://openalex.org/W3214806676","https://openalex.org/W7112839435","https://openalex.org/W3122622414","https://openalex.org/W3208176558","https://openalex.org/W7095381535"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":10},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":1}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2021-02-01T00:00:00"}