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  • Search: subject:"model backtesting"
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Year of publication
Subject
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conditional volatility 3 ARCH model 2 ARCH-Modell 2 Value-at-Risk 2 Volatility 2 Volatilität 2 filtered historical simulation 2 risk model backtesting 2 volatility scaling 2 Börsenkurs 1 Estimation 1 Estimation theory 1 Forecasting model 1 GARCH (1,1) 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätztheorie 1 Schätzung 1 Sensitivity analysis 1 Sensitivitätsanalyse 1 Share price 1 Simulation 1 Time series analysis 1 Welt 1 World 1 Zeitreihenanalyse 1 filtered volatility 1 initial margin (IM) model 1 model backtesting 1 volatility estimation 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Murphy, David 3 Gurrola-Perez, Pedro 2 Houllier, Melanie 1
Institution
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Bank of England 1
Published in...
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Bank of England working papers 1 The journal of financial market infrastructures 1 Working papers / Bank of England 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - 2015
Persistent link: https://www.econbiz.de/10010497517
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Filtered historical simulation Value-at-Risk models and their competitors
Gurrola-Perez, Pedro; Murphy, David - Bank of England - 2015
Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...
Persistent link: https://www.econbiz.de/10011195642
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Cover Image
Initial margin model sensitivity analysis and volatility estimation
Houllier, Melanie; Murphy, David - In: The journal of financial market infrastructures 5 (2017) 4, pp. 77-103
Persistent link: https://www.econbiz.de/10011729235
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