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~person:"Hassani, Samir Saissi"
~subject:"Basel Accord"
~subject:"Estimation theory"
~subject:"Estimation"
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Basel Accord
Estimation theory
Estimation
Basler Akkord
9
Risikomaß
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Risk measure
9
Statistical distribution
7
Statistische Verteilung
7
CVaR
6
Forecasting model
6
Prognoseverfahren
6
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6
VAR-Modell
6
VaR
6
backtesting
5
Conditional forecasting
4
Regulation
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Regulierung
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Schätzung
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Basel regulation for market risk
3
heavy tailed distributions
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Bank risk
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Bankrisiko
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Basel III
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Expected Shortfall
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Market risk
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Portfolio-Management
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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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Hassani, Samir Saissi
McAleer, Michael
81
Pérez Amaral, Teodosio
32
Chang, Chia-Lin
30
Jiménez-Martín, Juan-Ángel
27
Allen, David E.
23
Stoja, Evarist
14
Escanciano, Juan Carlos
12
Härdle, Wolfgang
12
Ardia, David
11
Rösch, Daniel
11
Wang, Ruodu
11
Caporin, Massimiliano
10
Dionne, Georges
10
Jimenez-Martin, Juan-Angel
10
Paolella, Marc S.
10
Francq, Christian
9
Lucas, André
9
Mittnik, Stefan
9
Zakoïan, Jean-Michel
9
Embrechts, Paul
8
Gouriéroux, Christian
8
Guégan, Dominique
8
Huschens, Stefan
8
Singh, Abhay Kumar
8
Wang, Weining
8
Asai, Manabu
7
Daníelsson, Jón
7
Gupta, Rangan
7
Kratz, Marie
7
Maasoumi, Esfandiar
7
Manganelli, Simone
7
Polanski, Arnold
7
Powell, Robert
7
Trojani, Fabio
7
Zhang, Xin
7
Ahelegbey, Daniel Felix
6
Almeida, Caio
6
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6
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1
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/10012886096
Saved in:
4
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012939393
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/10013273453
Saved in:
6
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:
7
Using a skewed exponential power mixture for
value-at-risk
and conditional
value-at-risk
forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk : JOR
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014487244
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:
9
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:
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