Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation-Reference-Cited by-同舟云学术

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Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation

Published:2022 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Saissi Hassani Samir,Dionne Georges

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference40 articles.

1. The minimally biased backtest for es;C Acerbi;Risk net,2019

2. Minimum capital requirements for market risk, publication no 352;Bank For International Settlements (BIS,2016

3. Minimum capital requirements for market risk, publication no 457;Basel Committee on Banking Supervision (BCBS),2019

4. Expected shortfall for distributions in finance;S A Broda;Statistical Tools for Finance and Insurance,2011

5. Time-series models with an EGB2 conditional distribution;M Caivano;Journal of Time Series Analysis,2014

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