) 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 …

We model the new quantitative aspects of market risk management for banks that Basel established in 2016 and came into … effect in January 2019. Market risk is measured by Conditional Value at Risk (CVaR) or Expected Shortfall at a confidence …

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 …