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Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
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Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
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The new international regulation of market risk: roles of VaR and CVaR in model validation
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
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The new international regulation of market risk
roles of VaR and CVaR in model validation