Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures (Q2227445)
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scientific article; zbMATH DE number 7310462
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| English | Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures |
scientific article; zbMATH DE number 7310462 |
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Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures (English)
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15 February 2021
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value-at-risk
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daily capital charges
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Basel accord
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VIX futures
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Bayesian strategy
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0.8277402520179749
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0.8065565824508667
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0.7939422726631165
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0.7693324089050293
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0.7682845592498779
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