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~person:"Hassani, Samir Saissi"
~source:"econis"
~subject:"Nonparametric statistics"
~subject:"Risikomaß"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Basel-III-Abkommen"
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Nonparametric statistics
Risikomaß
Basel Accord
8
Basler Akkord
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Risk measure
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CVaR
6
Statistical distribution
6
Statistische Verteilung
6
VAR model
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VAR-Modell
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VaR
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Prognoseverfahren
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Regulierung
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backtesting
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Estimation
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heavy tailed distributions
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Bank risk
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Basel III
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Nichtparametrisches Verfahren
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fat-tail distribution
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mixture of distributions
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parametric model
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1994-2005
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Basel settlements
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Hassani, Samir Saissi
McAleer, Michael
29
Pérez Amaral, Teodosio
25
Jiménez-Martín, Juan-Ángel
19
Chang, Chia-Lin
11
Dionne, Georges
6
Allen, David E.
5
Jimenez-Martin, Juan-Angel
4
Maasoumi, Esfandiar
4
Santos, Paulo Araújo
3
Altman, Edward I.
2
Brady, Brooks
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Casarin, Roberto
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Casellina, Simone
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Cremers, Heinz
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Daníelsson, Jón
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Farkas, Walter
2
Fricke, Jens
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Gouriéroux, Christian
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Herring, Richard J.
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Jaschke, Stefan R.
2
Lindé, Jesper
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Molinari, Robert D.
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Munari, Cosimo-Andrea
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Nguyen, Tristan
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Panoš, Jiří
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Pauly, Ralf
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Powell, Robert
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Resti, Andrea
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Roszbach, Kasper
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Rösch, Daniel
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Schuermann, Til
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Sironi, Andrea
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Siuda, Vojtěch
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Stahl, Gerhard
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Stehle, Richard
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Švéda, Josef
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Alexander, Carol
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Alexander, Gordon J.
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ECONIS (ZBW)
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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
Saved in:
2
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/10014234014
Saved in:
3
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012939393
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4
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
5
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013279729
Saved in:
6
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
7
The new international regulation of market risk: roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012545817
Saved in:
8
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
Saved in:
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