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~person:"Hassani, Samir Saissi"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~subject:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risk measure
Basel Accord
11
Basler Akkord
11
Risikomaß
10
Statistical distribution
8
Statistische Verteilung
8
Forecasting model
7
CVaR
6
VAR model
6
VAR-Modell
6
VaR
6
backtesting
5
Conditional forecasting
4
Estimation
4
Regulation
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Regulierung
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Schätzung
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Bank risk
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Bankrisiko
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Basel regulation for market risk
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Portfolio selection
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Portfolio-Management
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Risk management
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heavy tailed distributions
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Backtesting
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Basel III
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Basel framework for market risk
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Expected Shortfall
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Nichtparametrisches Verfahren
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conditional forecasting
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conditional value-at-risk (CVaR)
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Hassani, Samir Saissi
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
Wang, Ruodu
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
Ozdemir, Bogie
6
Peters, Gareth
6
Repullo, Rafael
6
Resti, Andrea
6
Roesch, Daniel
6
Sironi, Andrea
6
Varotto, Simone
6
Wernz, Johannes
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CIRRELT
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Journal of risk
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Journal of risk : JOR
1
The journal of operational 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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