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~person:"Dionne, Georges"
~subject:"Basler Akkord"
~subject:"Heavy tailed distributions"
~subject:"basel regulation for market risk"
~subject:"heavy tailed distributions"
~type_genre:"Arbeitspapier"
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Basler Akkord
Heavy tailed distributions
basel regulation for market risk
heavy tailed distributions
Basel Accord
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CVaR
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Risikomaß
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Risk measure
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Statistical distribution
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backtesting
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Basel regulation for market risk
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Bank risk
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fat-tail distribution
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Dionne, Georges
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
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Maasoumi, Esfandiar
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Santos, Paulo Araújo
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Altman, Edward I.
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Brady, Brooks
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Daníelsson, Jón
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Gouriéroux, Christian
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Herring, Richard J.
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Jaschke, Stefan R.
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Munari, Cosimo-Andrea
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Panoš, Jiří
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Pauly, Ralf
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Powell, Robert
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Resti, Andrea
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Roszbach, Kasper
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Schuermann, Til
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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/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:
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