1626 results in Statistics for econometrics, finance and insurance
6 - Evaluating Banks’ Value-at-Risk Models during the COVID-19 Crisis
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Foreword
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13 - Operational Risk
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7 - Performance Monitoring for Supervisory Stress-Testing Models
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8 - Counterparty Credit Risk
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Acknowledgments
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2 - Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
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Index
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11 - Case Studies in Wholesale Risk Model Validation
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Copyright page
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9 - Validation of Retail Credit Risk Models
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Appendix C - An Example on Discounting of Cash Flows and Losses
- from 12 - Validation of Models Used by Banks to Estimate Their Allowance for Loan and Lease Losses
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1 - Common Elements in Validation of Risk Models Used in Financial Institutions
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3 - A Conditional Testing Approach for Value-at-Risk Model Performance Evaluation
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Tables
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5 - Evaluation of Value-at-Risk Models: An Empirical Likelihood Approach
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4 - Beyond Exceedance-Based Backtesting of Value-at-Risk Models: Methods for Backtesting the Entire Forecasting Distribution Using Probability Integral Transform
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Contents
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Appendix A: - Mapping between Y9.C and Bloomberg variables
- from 15 - Validation of Risk Aggregation in Economic Capital Models
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15 - Validation of Risk Aggregation in Economic Capital Models
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