Cheng, Wai Yan; Wong, Michael Chak Sham; Wong, Clement … - In: Journal of Forecasting 22 (2003) 1, pp. 23-33
This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value-at-Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle Committee...
