Pages that link to "Item:Q3160930"
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The following pages link to Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930):
Displaying 18 items.
- Accuracy of mortgage portfolio risk forecasts during financial crises (Q320969) (← links)
- Specification tests of parametric dynamic conditional quantiles (Q736700) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default (Q2023954) (← links)
- Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
- Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
- Data-driven smooth tests for the martingale difference hypothesis (Q2445650) (← links)
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach (Q2684052) (← links)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- A review of backtesting for value at risk (Q5160284) (← links)
- Extending the Limits of Backtesting via the ‘Vanishing <i>p</i>’‐Approach (Q5237535) (← links)
- ESTIMATION-ADJUSTED VAR (Q5403109) (← links)
- A specification test for dynamic conditional distribution models with function-valued parameters (Q5861041) (← links)
- A Nonparametric Distribution-Free Test for Serial Independence of Errors (Q5863570) (← links)
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985) (← links)
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk (Q6054399) (← links)