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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"The journal of risk model validation"
~person:"Cesarone, Francesco"
~person:"Colucci, Stefano"
~subject:"Bank risk"
~subject:"Basel Accord"
~subject:"Measurement"
~subject:"Risk measure"
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Cesarone, Francesco
Colucci, Stefano
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Astin bulletin : the journal of the International Actuarial Association
The journal of risk model validation
Computational Management Science : CMS
1
European journal of operational research : EJOR
1
Journal of the Operational Research Society
1
OR spectrum : quantitative approaches in management
1
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Shrunk volatility value-at-risk : an application on US balanced portfolios
Colucci, Stefano
- In:
The journal of risk model validation
12
(
2018
)
2
,
pp. 1-62
Persistent link: https://www.econbiz.de/10011912252
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2
A quick tool to forecast value-at-risk using implied and realized volatilities
Cesarone, Francesco
;
Colucci, Stefano
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 71-101
Persistent link: https://www.econbiz.de/10011587719
Saved in:
3
Backtesting value-at-risk : a comparison between filtered bootstrap and historical simulation
Brandolini, Dario
;
Colucci, Stefano
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 3-16
Persistent link: https://www.econbiz.de/10009692964
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