Performance testing of margin models using time series similarity
Max Wong and Patrick Ge Pei
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Wong, Max Chan Yue ; Pei, Patrick Ge |
| Published in: |
The journal of financial market infrastructures. - London : Infopro Digital, ISSN 2049-5404, ZDB-ID 2694628-2. - Vol. 5.2017, 4, p. 50-75
|
| Subject: | margin | value-at-risk (VaR) | backtesting | market risk management | central counterparty (CCP) | procyclical risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Marktrisiko | Market risk | Statistischer Test | Statistical test | Kreditrisiko | Credit risk | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JFMI.2017.076 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729223