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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
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2023
Persistent link: https://www.econbiz.de/10014232280
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2
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
Saved in:
3
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
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2021
Persistent link: https://www.econbiz.de/10012423037
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Risk or regulatory capital? : bringing distributions back in the foreground
Guégan, Dominique
;
Hassani, Bertrand
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2015
Persistent link: https://www.econbiz.de/10011635443
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