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«Value-at-Risk: Strengths, Caveats and Considerations for Risk Managers and Regulators Master Thesis by Bogdan Izmaylov Supervisor: Thomas Berngruber ...»

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Manganelli, S., & Engle, R. F. (2004). CAViaR: Conditional autoregressive value at risk by regression quantiles. Journal of Business & Economic Statistics, Manner, H., & Reznikova, O. (2012). A survey on time-varying copulas.

Econometric Reviews, 31(4/6), 654.

McAleer, M., Jimenez-Martin, J., & Perez-Amaral, T. (2013). Has the basel accord improved risk management during the global financial crisis? The North American Journal of Economics and Finance, 26(0), 250-265.

McKinsey working papers on risk, no. 32. Managing market risk: Today and tomorrow (2012). McKinsey.

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York Times Company - LA English.

Pérignon, C., Deng, Z. Y., & Wang, Z. J. (2008). Do banks overstate their valueat-risk? Journal of Banking & Finance, 32(5), 783-794.

Pérignon, C., & Smith, D. R. (2010). The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking & Finance, 34(2), 362-377.

Plesner, S. (2012). Stresstesting - når virkeligheden overgår fantasien.

Finans/Invest, (1), 10.

Pritsker, M. (1997). Evaluating value at risk methodologies: Accuracy versus computational time. Journal of Financial Services Research, 12(2), 201.

Pritsker, M. (2006). The hidden dangers of historical simulation. Journal of Banking & Finance, 30(2), 561-582.

Rangvid, J. (2010). Strengere kapitalkrav i pengeinstitutter: En vurdering af de (samfunds) økonomiske gevinster og tab. Finans/Invest, (8), 5.

Roy, A. D. (1952). Safety first and the holding of assets. Econometrica - LA German, 20(3), 431.

Safety in Numbers. (1994), The Economist, 333, 102.

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for Economic Co-operation and Development.

Sorge, M. (December 2004). Stress-testing financial systems: An overview of current methodologies. BIS, (Working Paper No. 165) Taleb, N. (1997). The world according to Nassim Taleb. Derivatives Strategy, Taleb, N. (2007). Fooled by randomness. From http://www.fooledbyrandomness.com/imbeciles.htm Taleb, N. (2010). The black swan : The impact of the highly improbable (2. ed. ed.).

London: Penguin.

Taleb, N. N. (2012). A new heuristic measure of fragility and tail risks application to stress testing. S.l.: International Monetary Fund.

Yamai, Y., & Yoshiba, T. (2005). Value-at-risk versus expected shortfall: A practical perspective. Journal of Banking & Finance, 29(4), 997-1015.


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