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~person:"Dionne, Georges"
~person:"Sironi, Andrea"
~subject:"Basler Akkord"
~subject:"heavy tailed distributions"
~subject:"parametric model"
~type_genre:"Arbeitspapier"
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Basler Akkord
heavy tailed distributions
parametric model
Basel Accord
8
Risikomaß
8
Risk measure
8
CVaR
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
6
VAR-Modell
6
VaR
6
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5
Prognoseverfahren
5
Conditional forecasting
4
Regulation
4
Regulierung
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backtesting
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Basel regulation for market risk
3
Backtesting
2
Bank risk
2
Bankrisiko
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Basel III
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Corporate bond
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Credit risk
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Estimation
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Expected Shortfall
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Kreditrisiko
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätzung
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Unternehmensanleihe
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fat-tail distribution
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mixture of distributions
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Heavy tailed distributions
1
Portfolio selection
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Portfolio-Management
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basel regulation for market risk
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non-parametric model
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nonparametric model
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Dionne, Georges
Sironi, Andrea
McAleer, Michael
29
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Chang, Chia-Lin
11
Hassani, Samir Saissi
8
Allen, David E.
5
Jimenez-Martin, Juan-Angel
4
Maasoumi, Esfandiar
4
Santos, Paulo Araújo
3
Altman, Edward I.
2
Brady, Brooks
2
Casarin, Roberto
2
Casellina, Simone
2
Cremers, Heinz
2
Daníelsson, Jón
2
Farkas, Walter
2
Fricke, Jens
2
Gouriéroux, Christian
2
Herring, Richard J.
2
Jaschke, Stefan R.
2
Lindé, Jesper
2
Munari, Cosimo-Andrea
2
Panoš, Jiří
2
Pauly, Ralf
2
Powell, Robert
2
Resti, Andrea
2
Roszbach, Kasper
2
Schuermann, Til
2
Siuda, Vojtěch
2
Stahl, Gerhard
2
Stehle, Richard
2
Švéda, Josef
2
Adrian, Tobias
1
Alexander, Carol
1
Alexander, Gordon J.
1
Ayadi, Rym
1
Baptista, Alexandre M.
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Bec, Frédérique
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CIRRELT
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Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
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ECONIS (ZBW)
8
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1
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/10012545817
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/10012423037
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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