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~person:"Hassani, Samir Saissi"
~subject:"Bank risk"
~subject:"Risikomanagement"
~subject:"Risk measure"
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Bank risk
Risikomanagement
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Basel Accord
11
Basler Akkord
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10
Statistical distribution
8
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8
Forecasting model
7
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6
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VaR
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backtesting
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heavy tailed distributions
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Hassani, Samir Saissi
McAleer, Michael
45
Pérez Amaral, Teodosio
33
Jiménez-Martín, Juan-Ángel
23
Chang, Chia-Lin
15
Migueis, Marco
15
Ojo D Delaney PhD, Marianne
15
Ratnovski, Lev
15
Schuermann, Til
15
Wall, Larry D.
15
Rösch, Daniel
14
Schulte-Mattler, Hermann
14
Ongena, Steven
13
Perotti, Enrico C.
12
Vlahu, Razvan
12
Dionne, Georges
10
Suárez, Javier
10
Wang, Ruodu
10
Evanoff, Douglas Darrell
9
Gamba, Andrea
9
Hogan, Thomas L.
9
Mendicino, Caterina
9
Nikolov, Kalin
9
Trucharte, Carlos
9
Abbas, Faisal
8
Demirgüç-Kunt, Asli
8
Dermine, Jean
8
Gehrig, Thomas
8
Kane, Edward J.
8
Lucchetta, Marcella
8
Neisen, Martin
8
Shevchenko, Pavel V.
8
Sironi, Andrea
8
Wurgler, Jeffrey
8
Acharya, Viral V.
7
Admati, Anat R.
7
Adrian, Tobias
7
Alexander, Gordon J.
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Embrechts, Paul
7
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Journal of risk
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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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