A new semiparametric mirrored historical simulation value-at-risk model
Nikola Radivojević, Luka Filipović, Тomislav D. Brzaković
| Year of publication: |
2020
|
|---|---|
| Authors: | Radivojević, Nikola ; Filipović, Luka ; Brzaković, Tomislav D. |
| Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 23.2020, 1, p. 5-21
|
| Subject: | risk estimation | emerging markets | conditional value-at-risk | Basel III standard | Berkowitz test | bootstrap method | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Basler Akkord | Basel Accord | Schwellenländer | Emerging economies | Simulation | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics | Bankrisiko | Bank risk | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012421878