Detecting underestimates of risk in VaR models
Year of publication: |
2019
|
---|---|
Authors: | Thiele, Stephen |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 101.2019, p. 12-20
|
Subject: | Lagrange multiplier tests | Model validation | One-sided alternatives | Risk management | Risikomanagement | Risikomaß | Risk measure | Finanzdienstleistung | Financial services | Statistischer Test | Statistical test |
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