Samir Saissi Hassani
Samir Saissi Hassani has a Ph.D. in Administration-Finance from HEC Montréal, Canada and graduated as an Engineer at Central School of Marseille (École Centrale de Marseille), France.
The subject of his Ph. D. thesis was operational risk in banks.
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Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
The authors investigate a method that combines two skewed exponential power distributions and models the conditional forecasting of VaR and CVaR and is in compliance with the recent Basel framework for market risk.
The authors propose a method to consider business cycles in the computation of capital for operational risk.