scientific article; zbMATH DE number 2243099

MaRDI QIDQ5715569zbMATH OpenFDO

Authors Carsten S. Wehn

Publication date 3 January 2006

Full work available at URL http://www.shaker.de/de/content/catalogue/index.asp?lang=de&ID=8&ISBN=978-3-8322-4782-9

zbMATH Keywords

risk measures

Mathematics Subject Classification ID

Recommendations

• Early Detection Techniques for Market Risk Failure
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Evaluating the Risks of Modeling Assumptions Used in Risk Measurement
• The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
• A sequential method for the evaluation of the VaR model based on the run between exceed\-ances

Cited in

(1)

• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management

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