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~person:"Dionne, Georges"
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
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Dionne, Georges
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2023
Persistent link: https://www.econbiz.de/10014234014
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Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
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Dionne, Georges
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2022
Persistent link: https://www.econbiz.de/10013279729
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The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi
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Dionne, Georges
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2021
Persistent link: https://www.econbiz.de/10012545817
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