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  • Search: subject:"Forecasting scheme"
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Year of publication
Subject
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Backtesting 1 Basel Accord 1 Conditional Quantile 1 Estimation Risk 1 Fixed 1 Forecast evaluation 1 Risk management 1 Value at Risk 1 rolling and recursive forecasting scheme 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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English 1
Author
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Escanciano, Juan Carlos 1 Olmo, Jose 1
Institution
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Center for Applied Economics and Policy Research (CAEPR), Department of Economics 1
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Caepr Working Papers 1
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RePEc 1
Showing 1 - 1 of 1
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Backtesting Parametric Value-at-Risk with Estimation Risk
Escanciano, Juan Carlos; Olmo, Jose - Center for Applied Economics and Policy Research … - 2007
One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading activities are based on VaR estimates. Therefore,...
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