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Journal of risk
IMF Staff Country Reports
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Risks
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ECONIS (ZBW)
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1
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/18
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
2
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting cur...
Yu, Ted
- In:
Journal of risk
23
(
2020/2021
)
3
,
pp. 57-73
Persistent link: https://www.econbiz.de/10012500301
Saved in:
3
An internal default risk model : simulation of default times and recovery rates within the new fundamental review of the trading book framework
Bertagna, Andrea
;
Deliu, Dragos
;
Lopez, Luca
;
Nassigh, Aldo
- In:
Journal of risk
22
(
2019/2020
)
3
,
pp. 21-38
Persistent link: https://www.econbiz.de/10013177133
Saved in:
4
The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
Pogliani, Alessandro
;
Paganini, Federico
;
Rata, Marilena
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012059858
Saved in:
5
Multifactor granularity adjustments for market and counterparty risks
Fermanian, Jean-David
;
Florentin, Clément
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011962402
Saved in:
6
A review of the fundamentals of the Fundamental Review of the Trading Book II : asymmetries, anomalies, and simple remedies
Farag, Hany M.
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 99-128
Persistent link: https://www.econbiz.de/10011962426
Saved in:
7
Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha
;
Pedescu, Mirela
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
Saved in:
8
Ultra-fast scenario analysis of mortgage prepayment risk
Theiakos, Alexios
;
Tas, Jurgen M. C.
;
Lem, Han van der
; …
- In:
Journal of risk
17
(
2014/15
)
3
,
pp. 19-33
Persistent link: https://www.econbiz.de/10011298889
Saved in:
9
Testing for GARCH effects with quasilikelihood ratios
Luger, Richard
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 23-59
Persistent link: https://www.econbiz.de/10013262927
Saved in:
10
Portfolio risk forecasting
Braun, Valentin
;
Hackethal, Andreas
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
Saved in:
11
Alternative hedging in a discrete-time incomplete market
Josephy, Norman H.
;
Kimball, Lucia
;
Steblovskaya, Victoria
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 85-117
Persistent link: https://www.econbiz.de/10013262917
Saved in:
12
Interaction of market and credit risk : an analysis of inter-risk correlation and risk aggregation
Böcker, Klaus
;
Hillebrand, Martin
- In:
Journal of risk
11
(
2008/09
)
4
,
pp. 3-29
Persistent link: https://www.econbiz.de/10003881601
Saved in:
13
Integrating multi-market risk models
Shepard, Peter G.
- In:
Journal of risk
10
(
2007/08
)
2
,
pp. 25-45
Persistent link: https://www.econbiz.de/10003643650
Saved in:
14
Backtesting risk methodologies from one day to one year
Zumbach, Gilles O.
- In:
Journal of risk
9
(
2006/07
)
2
,
pp. 55-91
Persistent link: https://www.econbiz.de/10003697566
Saved in:
15
Backtesting market risk models in a standard normality framework
Dowd, Kevin
- In:
Journal of risk
9
(
2006/07
)
2
,
pp. 93-111
Persistent link: https://www.econbiz.de/10003697567
Saved in:
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