The new international regulation of market risk: roles of VaR and CVaR in model validation
Samir Saissi Hassani, Georges Dionne
| Year of publication: |
January 2021
|
|---|---|
| Authors: | Hassani, Samir Saissi ; Dionne, Georges |
| Publisher: |
Montréal (Québec) : Bureau de Montreal, Université de Montreal |
| Subject: | Basel III | VaR | CVaR | Expected Shortfall | backtesting | parametric model | non-parametric model | mixture of distributions | fat-tail distribution | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection |
freely available
| Extent: | 1 Online-Ressource (circa 45 Seiten) Illustrationen |
|---|---|
| Series: | CIRRELT. - Montréal (Québec), Canada : [CIRRELT], ZDB-ID 3003614-8. - Vol. CIRRELT-2021, 04 |
| 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/10012545817