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~person:"Hassani, Samir Saissi"
~person:"Wang, Ruodu"
~subject:"Risikomanagement"
~subject:"Risk measure"
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Search: subject_exact:"Eigenkapitalvorschriften"
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Risikomanagement
Risk measure
Basel Accord
21
Basler Akkord
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Risikomaß
19
Statistical distribution
10
Statistische Verteilung
10
Forecasting model
9
Prognoseverfahren
9
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9
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9
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7
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7
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backtesting
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heavy tailed distributions
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robustness
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Hassani, Samir Saissi
Wang, Ruodu
McAleer, Michael
45
Pérez Amaral, Teodosio
33
Jiménez-Martín, Juan-Ángel
23
Chang, Chia-Lin
15
Ratnovski, Lev
11
Rösch, Daniel
11
Dionne, Georges
10
Schuermann, Til
10
Migueis, Marco
9
Ongena, Steven
8
Schulte-Mattler, Hermann
8
Shevchenko, Pavel V.
8
Vlahu, Razvan
8
Embrechts, Paul
7
Jimenez-Martin, Juan-Angel
7
Kane, Edward J.
7
Perotti, Enrico C.
7
Trucharte, Carlos
7
Allen, David E.
6
Casellina, Simone
6
Daníelsson, Jón
6
Gatzert, Nadine
6
Guégan, Dominique
6
Iannino, Maria Chiara
6
Jacobs, Michael <Jr.>
6
Kellner, Ralf
6
Maasoumi, Esfandiar
6
Moosa, Imad A.
6
Neisen, Martin
6
Peters, Gareth
6
Repullo, Rafael
6
Resti, Andrea
6
Roesch, Daniel
6
Sironi, Andrea
6
Varotto, Simone
6
Wernz, Johannes
6
Cannata, Francesco
5
Chorafas, Dimitris N.
5
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Working papers
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Finance and stochastics
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Insurance / Mathematics & economics
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Journal of risk
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Journal of risk : JOR
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Mathematics of operations research
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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
Scenario-based risk evaluation
Wang, Ruodu
;
Ziegel, Johanna F.
- In:
Finance and stochastics
25
(
2021
)
4
,
pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
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/10012423037
Saved in:
9
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:
10
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
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