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~person:"Dionne, Georges"
~subject:"Basler Akkord"
~subject:"Portfolio-Management"
~subject:"basel regulation for market risk"
~subject:"heavy tailed distributions"
~type_genre:"Arbeitspapier"
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Basler Akkord
Portfolio-Management
basel regulation for market risk
heavy tailed distributions
Basel Accord
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CVaR
6
Risikomaß
6
Risk measure
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
6
VAR-Modell
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VaR
6
Forecasting model
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Prognoseverfahren
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Conditional forecasting
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Regulation
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Regulierung
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backtesting
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Basel regulation for market risk
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Bank risk
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Bankrisiko
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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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fat-tail distribution
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Dionne, Georges
McAleer, Michael
36
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Chang, Chia-Lin
13
Vries, Casper G. de
10
Allen, David E.
8
Hassani, Samir Saissi
8
Hyung, Namwon
7
Farkas, Walter
6
Fortin, Ines
6
Hlouskova, Jaroslava
6
Rengifo, Erick W.
6
Albrecht, Peter
5
Daníelsson, Jón
5
Gouriéroux, Christian
5
Huschens, Stefan
5
Härdle, Wolfgang
5
Powell, Robert
5
Weigert, Florian
5
Chen Zhou
4
Daouia, Abdelaati
4
Giot, Pierre
4
Girard, Stéphane
4
Hammoudeh, Shawkat
4
Jaschke, Stefan R.
4
Jimenez-Martin, Juan-Angel
4
Lucas, André
4
Maasoumi, Esfandiar
4
Pesaran, M. Hashem
4
Zaffaroni, Paolo
4
Billio, Monica
3
Bi̇rbi̇l, Ş. İlker
3
Casarin, Roberto
3
Chlebus, Marcin
3
Corsetti, Giancarlo
3
Dunne, Peter G.
3
Düllmann, Klaus
3
Engle, Robert F.
3
Franke, Günter
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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/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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