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Predicting Market Risk with Density Combination : An Introduction
Ardia, David - 2017
Density forecast combination is a useful tool for risk managers to reduce model risk. We present up …
Persistent link: https://www.econbiz.de/10012972128
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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 - 2023
Persistent link: https://www.econbiz.de/10014234014
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Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Haas, Markus (contributor); Mittnik, Stefan (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003351512
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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 - 2023
Persistent link: https://www.econbiz.de/10014232280
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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 25 (2023) 6, pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
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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
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Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha - In: Journal of risk management in financial institutions 12 (2019) 3, pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
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FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.; Kim, Minjoo; Shin, Yongcheol; Zhang, Qi - In: Journal of financial econometrics 17 (2019) 2, pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
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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
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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