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~isPartOf:"Working papers"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Arbeitspapier"
~type_genre:"Hochschulschrift"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Prognoseverfahren
Risikomanagement
Risikomaß
32
Risk measure
32
ARCH model
15
ARCH-Modell
15
Theorie
15
Theory
15
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risk management
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4
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Estimation theory
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Chlebus, Marcin
6
Billio, Monica
3
Frattarolo, Lorenzo
3
Hassani, Samir Saissi
3
Pelizzon, Loriana
3
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2
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2
Afonso, António
1
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1
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1
Buczyńsk, Mateusz
1
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1
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Cipollini, Fabrizio
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1
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1
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1
Kielak, Karol
1
Lanza, Fabio
1
Lis, Szymon
1
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1
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1
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ECONIS (ZBW)
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Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
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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/10014232280
Saved in:
3
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
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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
GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
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6
HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
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7
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
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8
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
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9
Systemic risk: a network approach
Hasse, Jean-Baptiste
-
2020
Persistent link: https://www.econbiz.de/10012387222
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10
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
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