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~person:"Kratz, Marie"
~subject:"VAR-Modell"
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VAR-Modell
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Kratz, Marie
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There is a VaR Beyond Usual Approximations
Submitter, ESSEC Business School
-
2017
Basel II and Solvency 2 both use the
Value-at
Risk
(VaR) as the risk measure to compute the Capital Requirements. In …
Persistent link: https://www.econbiz.de/10012973767
Saved in:
2
Multinomial VAR Backtests : A Simple Implicit Approach to Backtesting Expected Shortfall
Kratz, Marie
-
2017
test of
value-at-risk
(VaR) exceptions at different levels, an idea supported by an approximation of ES in terms of …
Persistent link: https://www.econbiz.de/10012965579
Saved in:
3
Multinomial var backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen
;
McNeil, Alexander J.
-
2016
Persistent link: https://www.econbiz.de/10011892794
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