Pitfalls in backtesting Historical Simulation VaR models
Year of publication: |
2012
|
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Authors: | Escanciano, Juan Carlos ; Pei, Pei |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 8, p. 2233-2244
|
Subject: | Simulation | Risikomaß | Risk measure | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Schätzung | Estimation | Statistischer Test | Statistical test |
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