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The new international regulation of market risk: roles of VaR and CVaR in model validation
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The new international regulation of market risk
roles of VaR and CVaR in model validation -
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
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Evaluating credit risk models: a critique and a new proposal
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Estimation of risk measures in energy portfolios using modern copula techniques
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Evaluating credit risk models
a critique and a proposal -
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
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"Moment‐based tests under parameter uncertainty"