Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Dominik Wied, Gregor N.F. Weiß, Daniel Ziggel
| Year of publication: |
November 2016
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|---|---|
| Authors: | Wied, Dominik ; Weiß, Gregor ; Ziggel, Daniel |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 72.2016, p. 121-132
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| Subject: | Model risk | Multivariate backtesting | Value-at-Risk | Systemic risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis | Statistischer Test | Statistical test | Bankrisiko | Bank risk | Systemrisiko | Risiko | Risk | Theorie | Theory | Basler Akkord | Basel Accord | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2016.07.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011635501