The new international regulation of market risk: roles of VaR and CVaR in model validation

Samir Saissi Hassani, Georges Dionne

Year of publication:	January 2021
Authors:	Hassani, Samir Saissi ; Dionne, Georges
Publisher:	Montréal (Québec) : Bureau de Montreal, Université de Montreal
Subject:	Basel III \| VaR \| CVaR \| Expected Shortfall \| backtesting \| parametric model \| non-parametric model \| mixture of distributions \| fat-tail distribution \| Risikomaß \| Risk measure \| Statistische Verteilung \| Statistical distribution \| Basler Akkord \| Basel Accord \| VAR-Modell \| VAR model \| Portfolio-Management \| Portfolio selection \| Schätzung \| Estimation \| Bankrisiko \| Bank risk \| Theorie \| Theory \| Marktrisiko \| Market risk \| Nichtparametrisches Verfahren \| Nonparametric statistics

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