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規格・テクニカルリポート類

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

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Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

Material type
規格・テクニカルリポート類
Author
Casarin, Robertoほか
Publisher
京都大学経済研究所
Publication date
2011-07
Material Format
Digital
Capacity, size, etc.
-
NDC
330
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Note (General):

出版タイプ: AM

Detailed bibliographic record

Summary, etc.:

It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forec...

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  • Kyoto University Research Information Repository

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Digital

Material Type
規格・テクニカルリポート類
Author/Editor
Casarin, Roberto
Chang, Chia-Lin
Jiménez-Martín, Juan-Ángel
McAleer, Michael
Pérez-Amaral, Teodosio
Publication, Distribution, etc.
Publication Date
2011-07
Publication Date (W3CDTF)
2011
Periodical title
KIER Discussion Paper
No. or year of volume/issue
784
Volume
784