The Two-Parameter Long-Horizon Value-at-Risk
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KeywordsRisk analysis; Risk management; Value-at-Risk; Basel regulations; Square Root Rule.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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