The role of the loss function in value-at-risk comparisons
Pilar Abad, Sonia Benito Muela and Carmen López Martin
| Year of publication: |
2015
|
|---|---|
| Authors: | Abad, Pilar ; Benito Muela, Sonia ; López Martin, Carmen |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 9.2015, 1, p. 1-19
|
| Subject: | value-at-risk | risk management | loss function | backtesting | market risk | Theorie | Theory | Risikomanagement | Risk management | Risikomaß | Risk measure | Verlust | Loss | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| 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/10010516723