A new set of improved Value-at-Risk backtests
Year of publication: |
2014
|
---|---|
Authors: | Ziggel, Daniel ; Berens, Tobias ; Weiß, Gregor N.F. ; Wied, Dominik |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 48.2014, C, p. 29-41
|
Publisher: |
Elsevier |
Subject: | Value-at-Risk | Backtesting | Monte Carlo simulation |
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