Similar Search Results

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

Using Skewed Exponential Power Mixture for VaR and CVaR Forecasts to Comply with Market Risk Regulation

Saissi Hassani, Samir; Dionne, Georges - 2023

) can model the conditional forecasting of VaR and CVaR to efficiently cover market risk at regulatory levels of 1% and 2 … regulation for market-risk …

Persistent link: https://www.econbiz.de/10014355816

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

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

Forecasting Expected Shortfall : Should We Use a Multivariate Model for Stock Market Factors?

Fortin, Alain-Philippe - 2019

Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine … are more parsimonious and simpler to implement than multivariatemodels, can be used to forecast the downsize risk of …

Persistent link: https://www.econbiz.de/10012898954

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

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

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

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

Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation

Saissi Hassani, Samir; Dionne, Georges - 2022

conditional forecasting of VaR and CVaR, made up of a mixture of two SEP3 densities, can efficiently cover market risk at … compliance with the recent Basel regulation for market-risk …

Persistent link: https://www.econbiz.de/10013404374