Backtesting VaR Models : An Expected Shortfall Approach
Year of publication: |
[2018]
|
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Authors: | Angelidis, Timotheos |
Other Persons: | Degiannakis, Stavros Antonios (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Notes: | In: Journal of Risk Model Validation, Vol. 1, No. 2 Volltext nicht verfügbar |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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