A decision rule to minimize daily capital charges in forecasting value-at-risk (Q3065548)
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scientific article; zbMATH DE number 5833049
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| default for all languages | No label defined |
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| English | A decision rule to minimize daily capital charges in forecasting value-at-risk |
scientific article; zbMATH DE number 5833049 |
Statements
A decision rule to minimize daily capital charges in forecasting value-at-risk (English)
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6 January 2011
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daily capital charges
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endogenous violations
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frequency of violations
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optimizing strategy
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risk forecasts
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value-at-risk
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0.82702065
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0.82512784
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0.8188413
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0.8104739
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0.8042233
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