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
Language | Label | Description | Also known as |
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English | 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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