Showing 1 - 7 of 7
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
Persistent link: https://www.econbiz.de/10001720337
Persistent link: https://www.econbiz.de/10001720339
Persistent link: https://www.econbiz.de/10001579728
Persistent link: https://www.econbiz.de/10001470768
Persistent link: https://www.econbiz.de/10002750165
Persistent link: https://www.econbiz.de/10013441066