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~subject:"Prognoseverfahren"
~person:"Hassani, Samir Saissi"
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Prognoseverfahren
Basel Accord
9
Basler Akkord
9
Risikomaß
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Risk measure
9
Statistical distribution
7
Statistische Verteilung
7
CVaR
6
Forecasting model
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VAR-Modell
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VaR
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backtesting
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Conditional forecasting
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Estimation
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Regulation
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Regulierung
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Schätzung
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Basel regulation for market risk
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heavy tailed distributions
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Backtesting
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Bank risk
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Bankrisiko
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Basel III
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Expected Shortfall
2
Market risk
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Marktrisiko
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Portfolio selection
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Portfolio-Management
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Risikomanagement
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Risk 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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English
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Hassani, Samir Saissi
McAleer, Michael
40
Pérez Amaral, Teodosio
15
Jiménez-Martín, Juan-Ángel
12
Dionne, Georges
10
Gerlach, Richard
10
Weiß, Gregor
10
Wied, Dominik
10
Chlebus, Marcin
9
Hoogerheide, Lennart F.
9
Lönnbark, Carl
9
Paolella, Marc S.
9
Polanski, Arnold
9
Stoja, Evarist
9
Taylor, James W.
9
Allen, David E.
8
Asai, Manabu
8
Caporin, Massimiliano
8
Chen, Cathy W. S.
8
Dimitriadis, Timo
8
Hoogerheide, Lennart
8
Ardia, David
7
Berens, Tobias
7
Degiannakis, Stavros
7
Dijk, Herman K. van
7
Trojani, Fabio
7
Wang, Chao
7
Ziggel, Daniel
7
Carriero, Andrea
6
Clark, Todd E.
6
Degiannakis, Stavros Antonios
6
Ganics, Gergely
6
Gupta, Rangan
6
Marcellino, Massimiliano
6
McNeil, Alexander J.
6
Mittnik, Stefan
6
Patton, Andrew J.
6
Rossi, Barbara
6
Sekhposyan, Tatevik
6
Trucíos, Carlos
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CIRRELT
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Journal of risk : JOR
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ECONIS (ZBW)
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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
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:
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/10013279729
Saved in:
5
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:
6
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:
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