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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10003846947
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Measuring the manufacturing process yield based on fuzzy data
Shu, Ming-hung; Wu, Hsien-chung - In: International journal of production research 48 (2010) 5/6, pp. 1627-1638
Persistent link: https://www.econbiz.de/10003940396
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Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - In: Journal of risk 14 (2011/12) 1, pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
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A sequential method for the evaluation of the VaR model based on the run between exceedancers
Mihailescu, Laurenţiu - 2003
Persistent link: https://www.econbiz.de/10001762989
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A sequential method for the evaluation of the VaR model based on the run between exceedances
Mihailescu, Laurent̜iu - In: Allgemeines statistisches Archiv : AStA ; journal of … 88 (2004) 1, pp. 51-72
Persistent link: https://www.econbiz.de/10001967136
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Monitoring changes in GARCH processes
Severin, Thomas; Schmid, Wolfgang - In: Allgemeines statistisches Archiv : AStA ; journal of … 83 (1999) 3, pp. 281-307
Persistent link: https://www.econbiz.de/10001409827
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Sequentielle Methoden zur Aufdeckung von Veränderungen der Erwartungswertstruktur bei finanzwissenschaftlichen Zeitreihen
Severin, Thomas - 1999 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001388996
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Statistics for copula-based measures of multivariate association : theory and applications to financial data
Gaißer, Sandra Caterina - 2011
Persistent link: https://www.econbiz.de/10009125241
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Measuring weak-form of market efficiency : the case of Dhaka stock exchange
Dulal Miah, Md.; Banik, Shubha Lal - In: International journal of financial services management … 6 (2013) 3, pp. 219-235
Persistent link: https://www.econbiz.de/10010338904
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Testing the weak-form efficiency of agriculture's capital markets
Ghimire, Binam; Annussek, Kolja; Harvey, Jackie; … - In: Economics and business review 2 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011535203