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A new set of improved value-at-risk backtests
Ziggel, Daniel; Berens, Tobias; Weiß, Gregor; Wied, Dominik - 2013
Persistent link: https://www.econbiz.de/10009793506
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019
Persistent link: https://www.econbiz.de/10012035248
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - Sonderforschungsbereich Statistical Modelling of … - 2018
Persistent link: https://www.econbiz.de/10011921089