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Displaying results 1 to 6 of 6.

  1. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2023]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [23, 2]
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: March 2023
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2023, 13
    Subjects: Conditional forecasting; VaR; CVaR; backtesting; Basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  3. Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: July 2022
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2022, 18
    Subjects: Conditional forecasting; VaR; CVaR; Backtesting; basel regulation for market risk; heavy tailed distributions
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  4. Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2022]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [22, 3]
    Subjects: Conditional forecasting; VaR; CVaR; Backtesting; Basel regulation for market risk; Heavy tailed distributions
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  5. The new international regulation of market risk: roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: January 2021
    Publisher:  Bureau de Montreal, Université de Montreal, Montréal (Québec)

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 18
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CIRRELT ; CIRRELT-2021, 04
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; non-parametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  6. The new international regulation of market risk
    roles of VaR and CVaR in model validation
    Author: Hassani, Samir Saissi; Dionne, Georges
    Published: [2021]
    Publisher:  [Canada Research Chair in Risk Management], [Montréal]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 631
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Working papers] / [Canada Research Chair in Risk Management] ; [21, 1]
    Subjects: Basel III; VaR; CVaR; Expected Shortfall; backtesting; parametric model; nonparametric model; mixture of distributions; fat-tail distribution
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen