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  • Search: subject:"VaR validation"
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ARCH model 1 ARCH-Modell 1 Bank risk 1 Bankrisiko 1 Capital markets 1 Filtered VaR 1 Financial market 1 Finanzmarkt 1 Forecasting model 1 Historical VaR 1 Internal market risk model 1 Market risk 1 Marktrisiko 1 Monte Carlo 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Statistical test 1 Statistischer Test 1 Stress test 1 Theorie 1 Theory 1 VAR model 1 VAR-Modell 1 VaR backtesting 1 VaR validation 1 Volatility 1 Volatilität 1 quantitative finance 1
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Auer, Martin 1
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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...
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