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person:"Powell, Robert"
~person:"Hassani, Samir Saissi"
~subject:"Basler Akkord"
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Search: subject_exact:"Conditional value at risk"
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Basler Akkord
Risikomaß
34
Risk measure
34
Credit risk
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Basel Accord
12
Kreditrisiko
12
CVaR
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Portfolio selection
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Statistical distribution
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Australia
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Australien
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VaR
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Market risk
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5
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Bank liquidity
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Europa
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backtesting
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Conditional forecasting
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Powell, Robert
Hassani, Samir Saissi
McAleer, Michael
44
Pérez Amaral, Teodosio
32
Jiménez-Martín, Juan-Ángel
22
Chang, Chia-Lin
15
Dionne, Georges
9
Wang, Ruodu
9
Jimenez-Martin, Juan-Angel
7
Allen, David E.
6
Guégan, Dominique
6
Maasoumi, Esfandiar
6
Rösch, Daniel
6
Embrechts, Paul
5
Kellner, Ralf
5
Resti, Andrea
5
Sironi, Andrea
5
Varotto, Simone
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Altman, Edward I.
4
Brady, Brooks
4
Daníelsson, Jón
4
Farkas, Walter
4
Gatzert, Nadine
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Hassani, Bertrand K.
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Jiménez-Martin, Juan-Angel
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Kane, Edward J.
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Neisen, Martin
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Perez Amaral, Teodosio
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Röth, Stefan
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Wilkens, Sascha
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Adrian, Tobias
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Alexander, Gordon J.
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Bianchi, Michele Leonardo
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Chan, Felix
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Da Veiga, Bernardo
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Fricke, Jens
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Gouriéroux, Christian
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ECONIS (ZBW)
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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
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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
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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
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:
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/10013279729
Saved in:
6
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
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/10012545817
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/10012423037
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
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
10
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
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