Backtesting Parametric Value-at-Risk With Estimation Risk
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- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
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- Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default
- Bayesian value-at-risk backtesting: the case of annuity pricing
- Asymptotic properties of duration-based VaR backtests
- Estimating and backtesting risk under heavy tails
- Virtual historical simulation for estimating the conditional VaR of large portfolios
- Model selection based on value-at-risk backtesting approach for GARCH-type models
- Data-driven smooth tests for the martingale difference hypothesis
- Verification of internal risk measure estimates
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach
- Value at risk estimation
- Accuracy of mortgage portfolio risk forecasts during financial crises
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- scientific article; zbMATH DE number 1538077 (Why is no real title available?)
- Backtesting aggregate risk
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- Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
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- A review of backtesting for value at risk
- Extending the limits of backtesting via the `vanishing p'-approach
- Testing VaR under Basel III with application to no-failure setting
- Evaluating value-at-risk models via quantile regression
- Estimation-adjusted VaR
- Value-at-risk forecasts under scrutiny—the German experience
- scientific article; zbMATH DE number 2243099 (Why is no real title available?)
- A Bridge Too Var
- A specification test for dynamic conditional distribution models with function-valued parameters
- A nonparametric distribution-free test for serial independence of errors
- Early Detection Techniques for Market Risk Failure
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Extremal Dependence-Based Specification Testing of Time Series
- A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
- Risk Measure Inference
- Powerful Backtests for Historical Simulation Expected Shortfall Models
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Modeling and backtesting systemic risk measures: the case of CoES
- A hybrid nonparametric multivariate density estimator with applications to risk management
- Inference on dynamic systemic risk measures
- Testing Quantile Forecast Optimality
- Specification tests of parametric dynamic conditional quantiles
- Real-time assessment of value-at-risk and volatility accuracy
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