The validation of filtered historical value-at-risk models
Year of publication: |
March 2018
|
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Authors: | Gurrola-Perez, Pedro |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 1, p. 85-112
|
Subject: | value-at-risk (VaR) | backtesting | filtered historical simulation (FHS) | loss functions | consistent score functions | Theorie | Theory | Risikomaß | Risk measure | Simulation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
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