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Podcast: Acerbi on backtesting ES and FRTB s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Banque pictet
Balazs szekely
Carlo acerbi
Central bank
Basel committee on banking regulation
Basel committee
Banking regulation
Google podcasts
Basel committee on banking supervision bcbs
Alue at risk var
Expected shortfall es
Frisk measures
P ampl attribution test
Risk management
EU banks balk at new market risk models backtest
EBA proposals introduce additional expected shortfall backtest for market capital risk models under FRTB
European banking authority
European union
European banking authority eba
Basel committee on banking supervision bcbs
European central bank ecb
Market risk
Trading book
Capital requirements
Apital requirements directive crd
Expected shortfall es
Profit amp lossp ampl
P ampl attribution test
Nternal models approach ima
Standardised approaches
Model validation
Tail risk
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Banque pictet
Marco orlandi
Balazs szekely
Carlo acerbi
Tilmann gneiting
Basel committee
Central bank
Expected shortfall es
Alue at risk var
Market risk
Quantitative analysis
Sur take
Risk management
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