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~person:"Chen, Chao"
~person:"Gao, Lijun"
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Chen, Chao
Gao, Lijun
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The mutual-information-based
variance-covariance
approach : an application to operational risk aggregation in Chinese banking
Li, Jianping
;
Zhu, Xiaoqian
;
Xie, Yongjia
;
Chen, Jianming
; …
- In:
The journal of operational risk
9
(
2014/2015
)
3
,
pp. 3-19
Persistent link: https://www.econbiz.de/10013262974
Saved in:
2
The exchange rate risk of Chinese yuan: Using VaR and ES based on extreme value theory
Wang, Zongrun
;
Wu, Weitao
;
Chen, Chao
;
Zhou, Yanju
- In:
Journal of Applied Statistics
37
(
2010
)
2
,
pp. 265-282
by historical simulation and
variance-covariance
method, VaR values calculated by EVT can measure the risk more …
Persistent link: https://www.econbiz.de/10008582912
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