A Review of Backtesting for Value at Risk

Communications in Statistics - Theory and Methods - United States
doi 10.1080/03610926.2017.1361984
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Informa UK Limited

Related search

Value-At-Risk Analysis for Sukuk Issuance

Advances in Natural and Applied Sciences
2018English

Value at Risk Models for Dutch Bond Portfolios

Journal of Banking and Finance
EconomicsEconometricsFinance
2000English

A Fast, Accurate Method for Value at Risk and Expected Shortfall

SSRN Electronic Journal
2014English

Analytical Bounds for Two Value-At-Risk Functionals

ASTIN Bulletin
AccountingEconomicsEconometricsFinance
2002English

A Non-Parametric Method for Calculating Conditional Stressed Value at Risk

Statistics and Economics
2017English

Incorporating Event Risk Into Value-At-Risk

Finance and Economics Discussion Series
2001English

Value at Risk Estimation Using Extreme Value Theory

2011English

Managing Value-At-Risk for a Bond Using Bond Put Options

Computational Economics
Computer Science ApplicationsEconomicsEconometricsFinance
2006English

Value-At-Risk Prediction: A Comparison of Alternative Strategies

Journal of Financial Econometrics
EconomicsEconometricsFinance
2005English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy