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~institution:"Banco Central do Brasil"
~institution:"Eidgenössische Technische Hochschule Zürich"
~institution:"Uniwersytet Warszawski / Wydział Nauk Ekonomicznych"
~subject:"Prognosemarkt"
~subject:"Schätzung"
~subject:"Zinsrisiko"
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Search: subject_exact:"Conditional value at risk"
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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2019
Persistent link: https://www.econbiz.de/10012041611
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2
EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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2016
Persistent link: https://www.econbiz.de/10011788233
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The correlation matrix of the Brazilian Central Bank's standard model for interest rate market risk
Rodrigues Neto, José Alvaro
(
contributor
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2000
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[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001741764
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