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  • Search: subject:"Family of Sign RCA Models"
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Subject
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Family of Sign RCA Models 2 Value at Risk 2 Expected Shortfall 1 backtesting 1 loss function 1 risk measures 1
Online availability
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Free 2
Type of publication
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Article 2
Language
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English 2
Author
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Górka, Joanna 2
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Dynamic Econometric Models 2
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RePEc 2
Showing 1 - 2 of 2
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The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures
Górka, Joanna - In: Dynamic Econometric Models 10 (2010), pp. 61-80
Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction. From this reasons, finding an adequate method of estimating and backtesting is crucial for both the regulators and the...
Persistent link: https://www.econbiz.de/10009001683
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Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
Górka, Joanna - In: Dynamic Econometric Models 9 (2009), pp. 39-50
is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected … Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were …
Persistent link: https://www.econbiz.de/10009001728
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