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On the appropriateness of inappropriate VaR models

Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 2, pp. 273-297

Persistent link: https://www.econbiz.de/10003328297

The impact of model risk on capital reserves : a quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97

Persistent link: https://www.econbiz.de/10011438894

Black-Scholes, marktkonsistente Bewertung und Risikomaße

Knispel, Thomas; Stahl, Gerhard; Weber, Stefan - In: Die Folgen der Finanzkrise für Regulierung und …, (pp. 15-60). 2012

Persistent link: https://www.econbiz.de/10009514989

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401