Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
School of Economics and Management
Aarhus University
Bartholins Allé 10, Building 1322, DK-8000 Aarhus C
Denmark …-based tests also perform well in many cases.
JEL Codes: G21, G32
Keywords: Risk Management, Backtesting, Volatility …, FQRSC, IFM2, and SSRHC
and Pelletier acknowledges financial support from the NCSU Enterprise Risk Management
Initiative …