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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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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
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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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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012886096
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012939393
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La mesure empirique des problèmes d'information
Dionne, Georges - In: L' Actualité économique : revue trimest. 74 (1998) 4, pp. 585-606
Persistent link: https://www.econbiz.de/10001255922
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[Rezension von: Campbell, Donald E., Resource allocation mechanisms]
Dionne, Georges - In: Journal of economic literature 27 (1989) 1, pp. 77-79
Persistent link: https://www.econbiz.de/10001343571
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Incertain et information : où en sommes-nous 35 ans après le colloque de Paris?
Dionne, Georges - In: L' Actualité économique : revue trimest. 63 (1987) 2, pp. 5-39
Persistent link: https://www.econbiz.de/10001053729
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The foundations of banks' risk regulation : a review of literature
Dionne, Georges (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002435953
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The foundations of risk regulation for banks : a review of the literature
Dionne, Georges - In: The evolving financial system and public policy : …, (pp. 177-221). 2004
Persistent link: https://www.econbiz.de/10003034728