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Persistent link: https://www.econbiz.de/10001846808
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769