Value at Risk and Backtesting

2010 ◽  
pp. 171-183
Author(s):  
Szymon Borak ◽  
Wolfgang Karl Härdle ◽  
Brenda López Cabrera
Keyword(s):  
At Risk ◽  
Value At Risk

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Value at Risk

2007 ◽  
Author(s):  
Arndt P. Funken ◽  
Alexander Obeid
Keyword(s):  
At Risk ◽  
Value At Risk

Capturing value-at-risk in futures markets: a revised filtered historical simulation approach

2012 ◽  
Vol 6 (4) ◽  
pp. 67-93
Author(s):  
Chang-Cheng Changchien ◽  
Chu-Hsiung Lin ◽  
Wei-Shun Kao
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Futures Markets ◽  
Simulation Approach ◽  
Historical Simulation

Central bank vulnerability and the credibility of its commitments: a value-at-risk approach

1999 ◽  
Vol 2 (1) ◽  
pp. 37-55 ◽  
Author(s):  
Mario Blejer ◽  
Liliana Schumacher
Keyword(s):  
At Risk ◽  
Central Bank ◽  
Value At Risk ◽  
A Value ◽  
Risk Approach

Statistical benefits of value-at-risk with long memory

2005 ◽  
Vol 7 (4) ◽  
pp. 21-45 ◽  
Author(s):  
Andrea Beltratti ◽  
Claudio Morana
Keyword(s):  
At Risk ◽  
Long Memory ◽  
Value At Risk
Sign in / Sign up

Export Citation Format

Share Document