Search Results - subject:"VaR backtesting"

Anticipating extreme losses using score-driven shape filters

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484

Persistent link: https://www.econbiz.de/10014372905

New runs-based approach to testing value at risk forecasts

Małecka, Marta - In: Journal of forecasting 43 (2024) 6, pp. 2021-2041

Persistent link: https://www.econbiz.de/10015110360

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in Transition New Series 22 (2021) 1, pp. 145-162

regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the …

Persistent link: https://www.econbiz.de/10012600284

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

regulations, we address the issue of VaR backtesting and contribute to the debate by exploring statistical properties of the …

Persistent link: https://www.econbiz.de/10012487146

Using the extremal index for value-at-risk backtesting

Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - Sonderforschungsbereich Statistical Modelling of … - 2018

Persistent link: https://www.econbiz.de/10011921089

Using the extremal index for value-at-risk backtesting

Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584

Persistent link: https://www.econbiz.de/10012316700

Forecasting value at risk with intra-day return curves

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038

Persistent link: https://www.econbiz.de/10012497181

Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

Persistent link: https://www.econbiz.de/10013341689

Value-at-risk estimation of foreign exchange rate risk in India

Swami, Onkar Shivraj; Pandey, Santosh Kumar; Pancholy, … - In: Asia-Pacific journal of management research and … 12 (2016) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10011559372