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~person:"Hassani, Samir Saissi"
~person:"Trucharte, Carlos"
~subject:"Risikomanagement"
~subject:"Risk measure"
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Search: subject_exact:"Eigenkapitalvorschriften"
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Risikomanagement
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Basel Accord
24
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10
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10
Spain
10
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10
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8
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backtesting
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heavy tailed distributions
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Hassani, Samir Saissi
Trucharte, Carlos
McAleer, Michael
45
Pérez Amaral, Teodosio
33
Jiménez-Martín, Juan-Ángel
23
Chang, Chia-Lin
15
Ratnovski, Lev
11
Rösch, Daniel
11
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10
Schuermann, Til
10
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9
Wang, Ruodu
9
Ongena, Steven
8
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8
Shevchenko, Pavel V.
8
Vlahu, Razvan
8
Embrechts, Paul
7
Jimenez-Martin, Juan-Angel
7
Kane, Edward J.
7
Perotti, Enrico C.
7
Allen, David E.
6
Casellina, Simone
6
Daníelsson, Jón
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Guégan, Dominique
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Iannino, Maria Chiara
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Maasoumi, Esfandiar
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Moosa, Imad A.
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Neisen, Martin
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6
Repullo, Rafael
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Resti, Andrea
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Roesch, Daniel
6
Sironi, Andrea
6
Varotto, Simone
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Wernz, Johannes
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ECONIS (ZBW)
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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
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012939393
Saved in:
4
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk : JOR
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
Saved in:
10
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
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