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    Academic Journal

    Συγγραφείς: Kohei Marumo, Кохей Марумо

    Πηγή: Statistics and Economics; № 5 (2017); 42-48 ; Статистика и Экономика; № 5 (2017); 42-48 ; 2500-3925 ; 10.21686/2500-3925-2017-5

    Περιγραφή αρχείου: application/pdf

    Relation: https://statecon.rea.ru/jour/article/view/1179/1082; Basel Committee on Banking Supervision. Fundamental review of the trading book : A revised market risk framework. Consultative Document, Bank for International Settlements, Oct. 2013.; European Banking Authority. EBA guidelines on stressed value at risk (stressed VaR). Technical report, European Banking Authority, 2012.; P. Gibart. Stressed VaR. Technical report, Credit Agricole, 2012.; K. Hong. Analytical method of computing stressed value-at-risk with conditional value-at-risk. Journal of Risk, 19(3):85–106, 2017.; K. Marumo and R. C. Wolff. A non-parametric method for approximating joint densities and copula functions for financial markets. Saitama University Working Paper, (4), 2013.; K. Marumo and R. C. Wolff. On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods. Journal of Risk, 18(3), 2016.; C. Perignon and D. R. Smith. The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking and Finance, 34:362– 377, 2010.; https://statecon.rea.ru/jour/article/view/1179

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    Academic Journal

    Διαθεσιμότητα: https://er.knutd.edu.ua/handle/123456789/9787

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