How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR (Q5234365)

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scientific article; zbMATH DE number 7110484
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How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
scientific article; zbMATH DE number 7110484

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    How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR (English)
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    26 September 2019
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    value at risk
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    stressed value at risk
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    fundamental review of the trading book
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    interest rates
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    local volatility
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    normal
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    lognormal
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    relative
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    absolute
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    displaced
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    risk factor returns
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    model risk
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    return modelling
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    geometric calculus
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    nature of interest rates
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