Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Samir Saissi Hassani and Georges Dionne
| Year of publication: |
2023
|
|---|---|
| Authors: | Hassani, Samir Saissi ; Dionne, Georges |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2023, 6, p. 73-103
|
| Subject: | conditional forecasting | value-at-risk (VaR) | conditional value-at-risk (CVaR) | back-testing | Basel framework for market risk | heavy-tailed distributions | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Marktrisiko | Market risk | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomanagement | Risk management | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014546368