Backtesting value at risk models
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Backtesting Value-at-Risk Models - univ-orleans.fr
www.univ-orleans.frIntroduction Backtesting Principles Testing strategies Recommandations Backtesting Value-at-Risk Models Christophe Hurlin University of OrlØans SØminaire Validation des ModŁles Financiers. 29 Avril 2013
Basel Committee on Banking Supervision …
www.bis.orgBasel Committee on Banking Supervision . Consultative document . credit risk models . Sound practices for backtesting counterparty …
Filtering Historical Simulation. Backtest Analysis
www.filteredhistoricalsimulation.comFiltered Historical Simulation 3 1 Overview of VaR models. VaR models play a core role in the risk management of today’s financial institutions.
Developing a stress testing framework based on …
www.carolalexander.orgDeveloping a stress testing framework based on market risk modelsq Carol Alexander, Elizabeth Sheedy* ICMA Centre, University of Reading, P.O. Box 242, Reading RG6 6BA, UK
Economic Capital versus Regulatory capital for …
www.actuaries.orgEconomic Capital versus Regulatory capital for market risk in banking and insurance sectors: Basel II experience and the challenge for Solvnecy II
BECOMING THE BEST BANK FOR CUSTOMERS
www.lloydsbankinggroup.comLloyds Banking Group Capital and Risk Management Pillar 3 Report Table 37: Corporate specialised lending exposures subject to supervisory slotting 68
Ernst & Young approach - United States
www.ey.comNSFR: net stable funding ratio The net stable funding ratio (NSFR) is designed to provide incentives for banks to seek more stable forms of funding.
Basel Committee on Banking Supervision
www.bis.orgBasel Committee on Banking Supervision June 2006 International Convergence of Capital Measurement and Capital Standards …
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