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~institution:"EconWPA"
~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
~subject:"Bayesian stragey"
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Bayesian stragey
value-at-risk
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daily capital charges
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Value-at-Risk
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optimizing strategy
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risk management
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violation penalties
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Value-at-Risk (VaR)
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aggressive risk management
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conservative risk management
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global financial crisis
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VIX futures
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portfolio optimization
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risk forecasts
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robust forecasts
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violations
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Basel Accord
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asymmetry
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basel II Accord
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conditional value at risk
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conditional value-at-risk
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credit risk
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market risk
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Casarin, Casarin, R.
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Chang, Chia-Lin
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Jimenez-Martin, Jimenez-Martin, J-A.
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McAleer, Michael
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Perez-Amaral, Perez-Amaral, T.
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting
Value-at-Risk
of VIX Futures
Chang, Chia-Lin
;
McAleer, Michael
;
Casarin, Casarin, R.
; …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
more risk models, whether individually or as combinations, to measure
Value-at-Risk
(VaR). The risk estimates of these …
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