Good risk measures, bad statistical assumptions, ugly risk forecasts
Michael Michaelides, Niraj Poudyal
| Year of publication: |
2024
|
|---|---|
| Authors: | Michaelides, Michael ; Poudyal, Niraj |
| Published in: |
The financial review : the official publication of the Eastern Finance Association. - Oxford : Wiley-Blackwell, ISSN 1540-6288, ZDB-ID 2068470-8. - Vol. 59.2024, 2, p. 519-543
|
| Subject: | Basel III | financial risk forecasting | market risk | time-heterogeneous Student's t AR model | Value-at-Risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Finanzdienstleistung | Financial services | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/fire.12368 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014543997