The Spectral Stress VaR (SSVaR)
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References listed on IDEAS
- Azamat Abdymomunov & Sharon Blei & Bakhodir Ergashev, 2015. "Integrating Stress Scenarios into Risk Quantification Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 57-79, February.
More about this item
KeywordsValue at Risk; Asymptotic theory; Distribution; Spectral analysis; Stress; Risk measure; Regulation;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2015-06-27 (Banking)
- NEP-CBA-2015-06-27 (Central Banking)
- NEP-ECM-2015-06-27 (Econometrics)
- NEP-ORE-2015-06-27 (Operations Research)
- NEP-RMG-2015-06-27 (Risk Management)
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