Good risk measures, bad statistical assumptions, ugly risk forecasts

Michael Michaelides, Niraj Poudyal

Year of publication:	2024
Authors:	Michaelides, Michael ; Poudyal, Niraj
Subject:	Basel III \| financial risk forecasting \| market risk \| time-heterogeneous Student's t AR model \| Value-at-Risk \| Risikomaß \| Risk measure \| Bankrisiko \| Bank risk \| Prognoseverfahren \| Forecasting model \| Basler Akkord \| Basel Accord \| Risiko \| Risk \| Risikomanagement \| Risk management \| Marktrisiko \| Market risk \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Finanzrisiko \| Financial risk

freely available

Full text |

More access options

doi.org

Which error do you want to report?

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Please note: Required language not in the list? Please use comment field

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014543997