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~isPartOf:"International review of financial analysis"
~isPartOf:"Working papers"
~person:"Dionne, Georges"
~subject:"Statistical distribution"
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Search: subject_exact:"Basel II Capital Accord"
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
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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
;
Dionne, Georges
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2022
Persistent link: https://www.econbiz.de/10013273453
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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/10012423037
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