Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Samir Saissi Hassani, Georges Dionne
| Year of publication: |
July 2022
|
|---|---|
| Authors: | Hassani, Samir Saissi ; Dionne, Georges |
| Publisher: |
Montréal (Québec) : Bureau de Montreal, Université de Montreal |
| Subject: | Conditional forecasting | VaR | CVaR | Backtesting | basel regulation for market risk | heavy tailed distributions | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Basler Akkord | Basel Accord | VAR-Modell | VAR model | Regulierung | Regulation |
freely available
| Extent: | 1 Online-Ressource (circa 57 Seiten) Illustrationen |
|---|---|
| Series: | CIRRELT. - Montréal (Québec), Canada : [CIRRELT], ZDB-ID 3003614-8. - Vol. CIRRELT-2022, 18 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013279729