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  • Search: subject:"Évaluation de modèle de risque"
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Year of publication
Subject
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Density Forecasting 1 Historical Simulation 1 Monte Carlo Testing 1 Risk Model Evaluation 1 prévision de densité 1 simulation historique 1 test Monte Carlo 1 Évaluation de modèle de risque 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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French 1
Author
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Christoffersen, Peter 1 Pelletier, Denis 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1
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RePEc 1
Showing 1 - 1 of 1
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Backtesting Value-at-Risk: A Duration-Based Approach
Christoffersen, Peter; Pelletier, Denis - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Financial risk model evaluation or backtesting is a key part of the internal model's approach to market risk management as laid out by the Basle Commitee on Banking Supervision (1996). However, existing backtesting methods such as those developed in Christoffersen (1998), have relatively small...
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