COMPARISON OF ESTIMATION METHODS FOR VALUE-AT-RISK

DOI10.17654/2277141722004MaRDI QIDQ5076079zbMATH OpenOpenAlexFDO

Authors Davy Cardorel Nzaba Kaya, Rafał Kulik, Bernédy Nel Messie Kodia Banzouzi

Publication date 12 May 2022

Published in Universal Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.17654/2277141722004

zbMATH Keywords

\textit{Q-Q} plotbacktestingmean excess plotrisk measurevalue-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites work

• Coherent measures of risk
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)

Cited in

(9)

• Comparison of risks based on the expected proportional shortfall
• A quantitative comparison of risk measures
• Comparison methods for stochastic models and risks
• Variance Reduction Techniques for Estimating Value-at-Risk
• scientific article; zbMATH DE number 5668415 (Why is no real title available?)
• scientific article; zbMATH DE number 5525019 (Why is no real title available?)
• scientific article; zbMATH DE number 1978950 (Why is no real title available?)
• Value-at-Risk Prediction: A Comparison of Alternative Strategies
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution

Describes a project that uses

Uses Software

• QRM

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