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~person:"Dionne, Georges"
~subject:"Bankrisiko"
~subject:"Basler Akkord"
~subject:"Estimation"
~subject:"heavy tailed distributions"
~subject:"parametric model"
~type_genre:"Arbeitspapier"
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Bankrisiko
Basler Akkord
Estimation
heavy tailed distributions
parametric model
Basel Accord
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CVaR
6
Risikomaß
6
Risk measure
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
6
VAR-Modell
6
VaR
6
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5
Prognoseverfahren
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Conditional forecasting
4
Regulation
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Regulierung
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backtesting
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Basel regulation for market risk
3
Backtesting
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Bank risk
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Basel III
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Expected Shortfall
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätzung
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fat-tail distribution
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mixture of distributions
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Heavy tailed distributions
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Dionne, Georges
McAleer, Michael
41
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Allen, David E.
14
Chang, Chia-Lin
13
Caporin, Massimiliano
9
Hassani, Samir Saissi
8
Mittnik, Stefan
7
Powell, Robert
7
Stoja, Evarist
7
Daníelsson, Jón
6
Cai, Zongwu
5
Härdle, Wolfgang
5
Paolella, Marc S.
5
Asai, Manabu
4
Fortin, Ines
4
Giudici, Paolo
4
Jaschke, Stefan R.
4
Jimenez-Martin, Juan-Angel
4
Korobilis, Dimitris
4
Lucas, André
4
Maasoumi, Esfandiar
4
Schienle, Melanie
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
3
Broll, Udo
3
Cañón, Carlos Iván
3
Chlebus, Marcin
3
Corsetti, Giancarlo
3
Düllmann, Klaus
3
Escanciano, Juan Carlos
3
Frattarolo, Lorenzo
3
Gerba, Eddie
3
Haas, Markus
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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:
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