Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Jean Paul Chung Wing and Preethee Nunkoo Gonpot
| Year of publication: |
2015
|
|---|---|
| Authors: | Wing, Jean Paul Chung ; Gonpot, Preethee Nunkoo |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 3, p. 1-22
|
| Subject: | GARCH | extreme value theory | value-at-risk | expected shortfall | backtesting | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | Prognoseverfahren | Forecasting model | BRICS-Staaten | BRICS countries |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011410313