Showing 131 - 137 of 137
Persistent link: https://www.econbiz.de/10013336238
Persistent link: https://www.econbiz.de/10002750165
Persistent link: https://www.econbiz.de/10013266484
Persistent link: https://www.econbiz.de/10013401061
Persistent link: https://www.econbiz.de/10013441066
Persistent link: https://www.econbiz.de/10013441128
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769