VaR is subject to a significant positive bias (Q2483870): Difference between revisions
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| Property / DOI: 10.1016/j.spl.2005.02.001 / rank | |||
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| Property / DOI: 10.1016/J.SPL.2005.02.001 / rank | |||
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Latest revision as of 22:43, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR is subject to a significant positive bias |
scientific article |
Statements
VaR is subject to a significant positive bias (English)
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1 August 2005
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Value-at-risk
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Harrell-Davis estimator
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Historical simulation
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Concave ordering
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