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Subject
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Risikomanagement 2 Risikomaß 2 Risk management 2 Risk measure 2 backtestability 2 Bank risk 1 Bankrisiko 1 Basel Accord 1 Basler Akkord 1 Credit risk 1 Forecasting model 1 Kreditrisiko 1 Loss 1 Measurement 1 Messung 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risiko 1 Risikomodell 1 Risk 1 Risk model 1 Statistical distribution 1 Statistical test 1 Statistische Verteilung 1 Statistischer Test 1 Theorie 1 Theory 1 Verlust 1 capital adequacy 1 catastrophic risk 1 elicitability 1 expected shortfall 1 loss distributions 1 model validation 1 portfolio management 1 quantile expectile 1 ridge backtest 1 risk measures 1 robustness 1
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Aufsatz im Buch 1 Book section 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Acerbi, Carlo 1 Bignozzi, Valeria 1 Burzoni, Matteo 1 Munari, Cosimo-Andrea 1 Szekely, Balazs 1
Published in...
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Peter Carr Gedenkschrift : research advances in mathematical finance 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Backtestability and the ridge backtest
Acerbi, Carlo; Szekely, Balazs - In: Peter Carr Gedenkschrift : research advances in …, (pp. 61-100). 2024
Persistent link: https://www.econbiz.de/10015446912
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
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