GFC-robust risk management under the Basel accord using extreme value methodologies (Q2227447)
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scientific article; zbMATH DE number 7310464
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| English | GFC-robust risk management under the Basel accord using extreme value methodologies |
scientific article; zbMATH DE number 7310464 |
Statements
GFC-robust risk management under the Basel accord using extreme value methodologies (English)
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15 February 2021
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value-at-risk (VaR)
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DPOT
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daily capital charges
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robust forecasts
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0.773597776889801
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0.7731289863586426
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0.7693324089050293
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0.7480779886245728
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0.7444123029708862
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