Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Samir Saissi Hassani and Georges Dionne
| Year of publication: |
[2022]
|
|---|---|
| Authors: | Hassani, Samir Saissi ; Dionne, Georges |
| Publisher: |
[Montréal] : [Canada Research Chair in Risk Management] |
| Subject: | Conditional forecasting | VaR | CVaR | Backtesting | Basel regulation for market risk | Heavy tailed distributions | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | Marktrisiko | Market risk | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Regulierung | Regulation | Schätzung | Estimation | Theorie | Theory | Bankenregulierung | Bank regulation |
freely available
| Extent: | 1 Online-Ressource (circa 56 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - [Montréal] : Canada Research Chair in Risk Management, ISSN 1206-3304, ZDB-ID 3003505-3. - Vol. [22, 3] |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013273453