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Hurlin, Christophe - 2013

This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number,...

Persistent link: https://www.econbiz.de/10013091645

Backtesting value-at-risk : a GMM duration-based test

Candelon, Bertrand; Colletaz, Gilbert; Hurlin, Christophe; … - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 314-343

Persistent link: https://www.econbiz.de/10009125123

Backtesting value-at-risk : from dynamic quantile to dynamic binary tests

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - In: Finance : revue de l'Association Française de Finance 33 (2012) 1, pp. 79-112

Persistent link: https://www.econbiz.de/10009656842

The Risk Map : a new tool for validating risk models

Colletaz, Gilbert; Hurlin, Christophe; Pérignon, Christophe - In: Journal of banking & finance 37 (2013) 10, pp. 3843-3854

Persistent link: https://www.econbiz.de/10010127439

Un test de validité de la Value at Risk

Hurlin, Christophe; Tokpavi, Sessi - In: Revue économique : revue bimestrielle 58 (2007) 3, pp. 599-608

Persistent link: https://www.econbiz.de/10003459676

Une évaluation des procédures de Backtesting : "tout va pour le mieux dans le meilleur des mondes"

Hurlin, Christophe; Tokpavi, Sessi - In: Finance : revue de l'Association Française de Finance 29 (2008) 1, pp. 53-80

Persistent link: https://www.econbiz.de/10003730239

Backtesting value-at-risk : a GMM duration-based test

Candelon, Bertrand; Colletaz, Gilbert; Hurlin, Christophe; … - 2009

Persistent link: https://www.econbiz.de/10003938576

Backtesting value-at-risk accuracy: a simple new test

Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37

Persistent link: https://www.econbiz.de/10003697509

A DARE vor VaR

Hamide, Benjamin; Hurlin, Christophe; Kouontchou, Patrick; … - In: Finance : revue de l'Association Française de Finance 36 (2015) 1, pp. 7-38

Persistent link: https://www.econbiz.de/10011514001

Risk measure inference

Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512

Persistent link: https://www.econbiz.de/10011893687