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~person:"Dionne, Georges"
~person:"Resti, Andrea"
~subject:"Basler Akkord"
~subject:"Estimation"
~type_genre:"Arbeitspapier"
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Basler Akkord
Estimation
Basel Accord
8
Risikomaß
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Risk measure
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CVaR
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
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Conditional forecasting
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backtesting
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Basel regulation for market risk
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heavy tailed distributions
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Bank risk
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fat-tail distribution
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mixture of distributions
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parametric model
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basel regulation for market risk
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Dionne, Georges
Resti, Andrea
McAleer, Michael
41
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Allen, David E.
13
Chang, Chia-Lin
13
Hassani, Samir Saissi
8
Caporin, Massimiliano
7
Mittnik, Stefan
7
Stoja, Evarist
7
Powell, Robert
6
Cai, Zongwu
5
Daníelsson, Jón
5
Härdle, Wolfgang
5
Paolella, Marc S.
5
Asai, Manabu
4
Fortin, Ines
4
Jimenez-Martin, Juan-Angel
4
Korobilis, Dimitris
4
Lucas, André
4
Maasoumi, Esfandiar
4
Schröder, Maximilian
4
Singh, Abhay Kumar
4
Trojani, Fabio
4
Trück, Stefan
4
Vries, Casper G. de
4
Ahelegbey, Daniel Felix
3
Billio, Monica
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Cañón, Carlos Iván
3
Chlebus, Marcin
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Corsetti, Giancarlo
3
Düllmann, Klaus
3
Escanciano, Juan Carlos
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Frattarolo, Lorenzo
3
Gerba, Eddie
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Haas, Markus
3
Harris, Richard D. F.
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Liu, Xiyuan
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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
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:
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/10013279729
Saved in:
5
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:
6
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:
7
The link between default and recovery rates : theory, empirical evidence and implications
Altman, Edward I.
;
Brady, Brooks
;
Resti, Andrea
; …
-
2003
Persistent link: https://www.econbiz.de/10001754467
Saved in:
8
The link between default and recovery rates : implications for credit risk models and procyclicality
Altman, Edward I.
;
Brady, Brooks
;
Resti, Andrea
; …
-
2002
Persistent link: https://www.econbiz.de/10001682349
Saved in:
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