A new set of improved Value-at-Risk backtests
Daniel Ziggel; Tobias Berens; Gregor N. F. Weiß; Dominik Wied
| Year of publication: |
2014
|
|---|---|
| Authors: | Ziggel, Daniel ; Berens, Tobias ; Weiß, Gregor ; Wied, Dominik |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 48.2014, p. 29-41
|
| Subject: | Value-at-Risk | Backtesting | Monte Carlo simulation | Monte-Carlo-Simulation | Risikomaß | Risk measure | Statistischer Test | Statistical test | Simulation | Risikomanagement | Risk management |
| 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/10010506942