EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"unconditional coverage test"
Narrow search

Narrow search

Year of publication
Subject
All
Backtesting 1 Estimation 1 Forecasting model 1 Internal Model Approach (IMA) 1 Prognoseverfahren 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Theorie 1 Theory 1 Unconditional Coverage Test 1 Value-at-Risk (VaR) 1 backtest 1 backtesting 1 expected shortfall (ES) 1 internal model-based approach (IMA) 1 unconditional coverage test 1 value-at-risk (VaR) 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Kuo, Cheng-Kun 1 Lee, Chih-Wei 1 Moldenhauer, Felix 1 Pitera, Marcin 1 Wu, Po-Cheng 1
Published in...
All
Global Journal of Business Research 1 Journal of risk 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix; Pitera, Marcin - In: Journal of risk 22 (2019) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
Cover Image
EVALUATION OF MULTI-ASSET VALUE AT RISK: EVIDENCE FROM TAIWAN
Wu, Po-Cheng; Kuo, Cheng-Kun; Lee, Chih-Wei - In: Global Journal of Business Research 6 (2012) 4, pp. 23-34
Under the internal model approach (IMA) stipulated by Basel II, financial institutions are allowed to develop and employ proprietary internal models to evaluate various risk. However, the flexibility to develop a proprietary model leads to the question of which computing method delivers the most...
Persistent link: https://www.econbiz.de/10011205754
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...