Search Results - subject:"Backtesting"

Cálculo del Valor en Riesgo y Pérdida Esperada mediante R: Empleando modelos con volatilidad constante.

Alonso, Julio César; Seeman, Paul - UNIVERSIDAD ICESI - 2009

como calcular el ES y realizar el backtesting al interior de la muestra ("in sample") y por fuera de la muestra ("out of …

Persistent link: https://www.econbiz.de/10009358915

Credit Risk Management (Cont.)

Fantazzini, Fantazzini , Dean - In: Applied Econometrics 13 (2009) 1, pp. 105-138

In this issue we publish the fourth part of professor Fantazzini’s consultation series on econometric analysis of financial data in risk management. This time it deals with the topic of credit risk management. After having described one-dimensional models of credit risk in the previous issue...

Persistent link: https://www.econbiz.de/10009018540

Econometric Analysis of Financial Data in Risk Management

Fantazzini, Fantazzini , Dean - In: Applied Econometrics 14 (2009) 2, pp. 100-127

This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion

Persistent link: https://www.econbiz.de/10009018549

Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II

Fricke, Jens; Pauly, Ralf - Institut für Empirische Wirtschaftsforschung, … - 2009

problem is that the builtin positive incentive of the penalty factor resulting from the Basle II backtesting is set too weak …

Persistent link: https://www.econbiz.de/10008739198

Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets

Miletic, Mirjana; Miletic, Sinisa - In: Economic research 28 (2015) 1, pp. 132-166

Persistent link: https://www.econbiz.de/10012220692

Die Prüfung der Schadenrückstellung von Schaden-/Unfallversicherern nach IFRS 4 (Entwurf ED/2013/7) und Solvency II : Teil 2: Aspekte aussagebezogener Prüfungshandlungen mit dem Schwerpunkt analytischer Prüfungshandlungen

Wiedemann, Marcel; Hehmeyer, Somon; Klem, Martin - In: IRZ : Zeitschrift für internationale Rechnungslegung 10 (2015) 9, pp. 363-367

Persistent link: https://www.econbiz.de/10011347917

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

Goode, Jimmie; Kim, Young Shin; Fabozzi, Frank J. - In: Applied economics 47 (2015) 46/48, pp. 5147-5158

Persistent link: https://www.econbiz.de/10011318373

Backtesting solvency II value-at-risk models using a rolling horizon

Loois, Miriam - In: The journal of risk model validation 9 (2015) 2, pp. 13-31

Persistent link: https://www.econbiz.de/10011326311

A comparison of expected shortfall estimation models

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47

Persistent link: https://www.econbiz.de/10011317189

What is the best risk measure in practice? : a comparsion of standard measures

Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60

Persistent link: https://www.econbiz.de/10011438976

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