A detailed comparison of value at risk estimates
Year of publication: |
2013
|
---|---|
Authors: | Abad, Pilar ; Benito, Sonia |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 94.2013, C, p. 258-276
|
Publisher: |
Elsevier |
Subject: | Value at risk | Parametric model | Extreme value theory model | GARCH model | Risk management |
-
Abad, Pilar, (2016)
-
A Capital Adequacy Buffer Model
Abad, Pilar, (2013)
-
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia, (2015)
- More ...
-
A Capital Adequacy Buffer Model
Abad, Pilar, (2013)
-
ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE
ABAD, PILAR, (2009)
-
Abad, Pilar, (2006)
- More ...