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~person:"Hassani, Samir Saissi"
~source:"econis"
~subject:"Regulierung"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
~type_genre:"Non-commercial literature"
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Regulierung
Risikomaß
Statistische Verteilung
Basel Accord
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Basler Akkord
8
Risk measure
8
CVaR
6
Statistical distribution
6
VAR model
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VAR-Modell
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VaR
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Forecasting model
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Prognoseverfahren
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Conditional forecasting
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Regulation
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backtesting
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Basel regulation for market risk
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Estimation
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Schätzung
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heavy tailed distributions
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Backtesting
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Bank risk
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Bankrisiko
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Basel III
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Nichtparametrisches Verfahren
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Nonparametric statistics
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fat-tail distribution
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mixture of distributions
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parametric model
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1994-2005
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Aktienindex
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Basel settlements
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Heavy tailed distributions
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Portfolio selection
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Hassani, Samir Saissi
McAleer, Michael
29
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Chang, Chia-Lin
11
Hellwig, Martin
8
Admati, Anat R.
7
Agénor, Pierre-Richard
6
Dionne, Georges
6
Silva, Luiz A. Pereira da
6
Allen, David E.
5
Alper, Koray
5
Haufler, Andreas
5
Maier, Ulf
5
DeMarzo, Peter M.
4
Goel, Tirupam
4
Jimenez-Martin, Juan-Angel
4
Maasoumi, Esfandiar
4
Pfleiderer, Paul
4
Chen Zhou
3
Dimitrov, Daniel
3
Haselmann, Rainer
3
Herring, Richard J.
3
Hülsewig, Oliver
3
Lewrick, Ulf
3
Munari, Cosimo-Andrea
3
Santos, Paulo Araújo
3
Schliephake, Eva
3
Vig, Vikrant
3
Wijnbergen, Sweder van
3
Adrian, Tobias
2
Altman, Edward I.
2
Becker, Bo
2
Behn, Markus
2
Boyer, Pierre C.
2
Brady, Brooks
2
Budnik, Katarzyna
2
Casarin, Roberto
2
Casellina, Simone
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Cremers, Heinz
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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
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012939393
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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:
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