How accurate are modern Value-at-Risk estimators derived from extreme value theory?
Year of publication: |
May 2018
|
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Authors: | Mögel, Benjamin ; Auer, Benjamin R. |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 50.2018, 4, p. 979-1030
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Subject: | Backtest | Extreme value theory | Financial crisis | Historical simulation | Value-at-Risk | Risikomaß | Risk measure | Ausreißer | Outliers | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Finanzkrise |
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