V. V. Acharya, A theory of systemic risk and design of prudential bank regulation, Journal of Financial Stability, vol.5, issue.3, pp.224-255, 2009.
DOI : 10.1016/j.jfs.2009.02.001

G. J. Alexander, A. M. Baptista, and S. Yan, On regulatory responses to the recent crisis: An assessment of the basel market risk framework and the 145

V. Bignozzi and A. Tsanakas, Parameter Uncertainty and Residual Estimation Risk, Journal of Risk and Insurance, vol.21, issue.4, p.page Forthcoming, 2015.
DOI : 10.1111/jori.12075

P. Christoffersen and S. Gonçalves, Estimation risk in financial risk management, The Journal of Risk, vol.7, issue.3, pp.1-28, 2005.
DOI : 10.21314/JOR.2005.112

D. Guégan, B. Hassani, and K. Li, The Spectral Stress VaR (SSVaR), SSRN Electronic Journal
DOI : 10.2139/ssrn.2622391

F. Godin, S. Mayoral, and M. Morales, Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator, Journal of Risk and Insurance, vol.55, issue.1, pp.841-866, 2012.
DOI : 10.1111/j.1539-6975.2011.01445.x

P. Jorion, : Measuring the Risk in Value at Risk, Rootzén. Extremes and Related Properties of Random Sequences and Processes, pp.47-56, 1983.
DOI : 10.2469/faj.v52.n6.2039

C. Pérignon and D. R. Smith, The level and quality of Value-at-Risk disclosure by commercial banks, Journal of Banking & Finance, vol.34, issue.2, pp.362-377
DOI : 10.1016/j.jbankfin.2009.08.009

M. Pritsker, Evaluating value at risk methodologies: Accuracy versus computational time, Journal of Financial Services Research, vol.12, issue.2/3, pp.201-242, 1997.
DOI : 10.1023/A:1007978820465

C. R. Rao, Linear statistical inference and its applications, p.175
DOI : 10.1002/9780470316436