The estimation of Value-at-Risk using a non-parametric approach
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
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Subject: | risk management | non-parametric models | VaR | cross-validation | kernel function | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Risikomanagement | Risk management |
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