VaR performance during the subprime and sovereign debt crises : an application to emerging markets
Year of publication: |
2014
|
---|---|
Authors: | Brio, Esther B. del ; Mora-Valencia, Andrés ; Perote, Javier |
Published in: |
Emerging markets review. - Amsterdam [u.a.] : Elsevier, ISSN 1566-0141, ZDB-ID 2025202-X. - Vol. 20.2014, p. 23-41
|
Subject: | Value-at-risk | Backtesting | Skewed Student's t | Extreme value theory | Gram-Charlier expansion | Hedge funds | Schwellenländer | Emerging economies | Risikomaß | Risk measure | Theorie | Theory | Finanzkrise | Financial crisis | Hedgefonds | Hedge fund | Portfolio-Management | Portfolio selection | Ausreißer | Outliers | VAR-Modell | VAR model | Subprime-Krise | Subprime financial crisis | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Öffentliche Schulden | Public debt |
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