Backtesting VaR models : the case of commodities
Devesh Shankar, Prateek Bedi, Shalini Agnihotri and Jappanjyot Kaur Kalra
| Year of publication: |
2017
|
|---|---|
| Authors: | Shankar, Devesh ; Bedi, Prateek ; Agnihotri, Shalini ; Kalra, Jappanjyot Kaur |
| Published in: |
Business analyst : a refereed journal of Shri Ram College of Commerce. - Delhi, ISSN 0973-211X, ZDB-ID 2824157-5. - Vol. 38.2017, 1, p. 36-57
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| Subject: | Value at Risk | Backtesting | Historical VaR | Bootstrapping | Volatility Weighted Normal VaR | GARCH (1,1) VaR | Kupiec's Test | Risikomaß | Risk measure | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistischer Test | Statistical test | Bootstrap-Verfahren | Bootstrap approach | Schätzung | Estimation | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schock | Shock |