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Density Forecasting
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Historical Simulation
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Monte Carlo Testing
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Risk Model Evaluation
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prévision de densité
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simulation historique
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test Monte Carlo
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Christoffersen, Peter
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Pelletier, Denis
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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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 …
Persistent link: https://www.econbiz.de/10005101111
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