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28 pages • missing pub info (editions)
ISBN/UID: 9781288711604
Format: Paperback
Language: English
Publisher: Bibliogov
Publication date: 06 February 2013
Description
This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and in...
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Content Warnings
28 pages • missing pub info (editions)
ISBN/UID: 9781288711604
Format: Paperback
Language: English
Publisher: Bibliogov
Publication date: 06 February 2013
Description
This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective. The properties of unconditional coverage and in...
Community Reviews
Content Warnings