Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Year of publication: |
November 2016
|
---|---|
Authors: | Wied, Dominik ; Weiß, Gregor ; Ziggel, Daniel |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 72.2016, p. 121-132
|
Subject: | Model risk | Multivariate backtesting | Value-at-Risk | Systemic risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Basler Akkord | Basel Accord | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection |
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