Backtesting solvency II value-at-risk models using a rolling horizon
Miriam Loois
| Year of publication: |
2015
|
|---|---|
| Authors: | Loois, Miriam |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 2, p. 13-31
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| Subject: | backtesting | value-at-risk | Solvency II | random walk | null hypothesis | rolling horizon | Risikomaß | Risk measure | Statistischer Test | Statistical test | Theorie | Theory | Risikomanagement | Risk management | Random Walk | Random walk | Prognoseverfahren | Forecasting model |