Showing 1 - 3 of 3
In this study we empirically explore the capacity of historical VaR to correctly predict the future risk of a financial institution. We observe that rolling samples are better able to capture the dynamics of future risks. We thus introduce another risk measure, the Sample Quantile Process, which...
Persistent link: https://www.econbiz.de/10012965577
Persistent link: https://www.econbiz.de/10011408289
Persistent link: https://www.econbiz.de/10011657646