Quality control of risk measures: backtesting VAR models
Year of publication: |
2007
|
---|---|
Authors: | Pena, Victor H. de la ; Rivera, Ricardo ; Ruiz-Mata, Jesus |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 9.2006/07, 2, p. 39-54
|
Subject: | Risiko | Risk | Messung | Measurement | Statistischer Test | Statistical test | Risikomaß | Risk measure | Qualitätsmanagement | Quality management |
-
Backtesting expected shortfall : accounting for tail risk
Du, Zaichao, (2015)
-
Brownlees, Christian, (2020)
-
Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M., (2017)
- More ...
-
Deficit cuasifiscal: el caso argentino : 1977 - 1989
Giorgio, Luis Alberto, (1991)
-
Dynamic density estimation of market microstructure variables via auxiliary particle filtering
Nehren, Daniel, (2012)
-
Portfolio Entropy : Incorporating Investor's Risk Appetite for Long-Term Asset Allocation
Rivera, Ricardo, (2023)
- More ...