The estimation of Value-at-Risk using a non-parametric approach
Amir Olfat, Farzad Eskandari
| Year of publication: |
2023
|
|---|---|
| Authors: | Olfat, Amir ; Eskandari, Farzad |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 2, p. 180-188
|
| Subject: | risk management | non-parametric models | VaR | cross-validation | kernel function | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014286672