Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backtesting Parametric Value-at-Risk With Estimation Risk |
scientific article |
Statements
Backtesting Parametric Value-at-Risk With Estimation Risk (English)
0 references
11 October 2010
0 references
backtesting
0 references
basel accord
0 references
conditional quantile
0 references
estimation risk
0 references
fixed
0 references
rolling
0 references
and recursive forecasting scheme
0 references
forecast evaluation
0 references
risk management
0 references
value-at-risk
0 references
