Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625)
From MaRDI portal
scientific article; zbMATH DE number 6952620
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backtesting Value‐at‐Risk: A Generalized Markov Test |
scientific article; zbMATH DE number 6952620 |
Statements
Backtesting Value‐at‐Risk: A Generalized Markov Test (English)
0 references
12 October 2018
0 references
duration
0 references
quantile
0 references
likelihood ratio
0 references
market risk management
0 references
