Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify … evaluate the adequacy of almost any given market risk model. Existing models are enhanced by in-depth analysis and simulations …