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person:"Powell, Robert"
~person:"Hassani, Samir Saissi"
~subject:"Basler Akkord"
~subject:"Schätzung"
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Search: subject_exact:"Conditional value at risk"
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Basler Akkord
Schätzung
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33
Risk measure
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10
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backtesting
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Conditional forecasting
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Powell, Robert
Hassani, Samir Saissi
McAleer, Michael
63
Pérez Amaral, Teodosio
32
Jiménez-Martín, Juan-Ángel
22
Chang, Chia-Lin
19
Allen, David E.
18
Stoja, Evarist
12
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11
Caporin, Massimiliano
10
Dionne, Georges
10
Escanciano, Juan Carlos
9
Mittnik, Stefan
9
Paolella, Marc S.
9
Rösch, Daniel
9
Härdle, Wolfgang
8
Singh, Abhay Kumar
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Asai, Manabu
7
Daníelsson, Jón
7
Gupta, Rangan
7
Jimenez-Martin, Juan-Angel
7
Maasoumi, Esfandiar
7
Manganelli, Simone
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Trojani, Fabio
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Ahelegbey, Daniel Felix
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Almeida, Caio
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Embrechts, Paul
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Francq, Christian
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Garcia, René
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Guégan, Dominique
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Harris, Richard D. F.
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Jiang, Hao
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Kratz, Marie
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Zakoïan, Jean-Michel
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Ardia, David
5
Ardison, Kym
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Cai, Zongwu
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ECONIS (ZBW)
16
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1
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
Saved in:
2
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014234014
Saved in:
3
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012939393
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4
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
5
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
6
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013279729
Saved in:
7
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
Saved in:
8
The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012545817
Saved in:
9
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk : JOR
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
Saved in:
10
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2013
Persistent link: https://www.econbiz.de/10010354388
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