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~accessRights:"free"
~person:"Hassani, Samir Saissi"
~subject:"Risikomanagement"
~subject:"Risk measure"
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Risikomanagement
Risk measure
Basel Accord
8
Basler Akkord
8
Risikomaß
8
CVaR
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
6
VAR-Modell
6
VaR
6
Forecasting model
5
Prognoseverfahren
5
Conditional forecasting
4
Regulation
4
Regulierung
4
backtesting
4
Basel regulation for market risk
3
Estimation
3
Schätzung
3
heavy tailed distributions
3
Backtesting
2
Bank risk
2
Bankrisiko
2
Basel III
2
Expected Shortfall
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
fat-tail distribution
2
mixture of distributions
2
parametric model
2
1994-2005
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Aktienindex
1
Basel settlements
1
Heavy tailed distributions
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Market risk
1
Marktrisiko
1
Portfolio selection
1
Portfolio-Management
1
Risk management
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Arbeitspapier
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Graue Literatur
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Working Paper
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English
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French
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Hassani, Samir Saissi
McAleer, Michael
34
Pérez Amaral, Teodosio
24
Jiménez-Martín, Juan-Ángel
19
Chang, Chia-Lin
12
Ratnovski, Lev
9
Dionne, Georges
7
Vlahu, Razvan
7
Casellina, Simone
6
Perotti, Enrico C.
6
Cannata, Francesco
5
Kane, Edward J.
5
Maasoumi, Esfandiar
5
Ongena, Steven
5
Allen, David E.
4
Iannino, Maria Chiara
4
Jimenez-Martin, Juan-Angel
4
Jiménez-Martin, Juan-Angel
4
Migueis, Marco
4
Perez Amaral, Teodosio
4
Peters, Gareth
4
Roesch, Daniel
4
Shevchenko, Pavel V.
4
Wall, Larry D.
4
Cont, Rama
3
Daníelsson, Jón
3
Gehrig, Thomas
3
Konietschke, Paul
3
Kotlicki, Artur
3
Ojo D Delaney PhD, Marianne
3
Pelizzon, Loriana
3
Repullo, Rafael
3
Rösch, Daniel
3
Santos, Paulo Araújo
3
Trucharte, Carlos
3
Valderrama, Laura
3
Wang, Ruodu
3
Atik, Jeffery
2
Ayadi, Rym
2
Benetton, Matteo
2
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CIRRELT
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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
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:
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