Testing VaR under Basel III with application to no-failure setting

DOI10.1007/978-3-319-54885-2_18MaRDI QIDQ5240334zbMATH OpenOpenAlexFDO

Authors Marta Malecka

Publication date 25 October 2019

Published in Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-54885-2_18

zbMATH Keywords

Basel committeeBernoulli modelLagrange multiplierLagrange multiplier testrejection frequency

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Elements of financial risk management.
• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics

Cited in

(1)

• scientific article; zbMATH DE number 5589691 (Why is no real title available?)

Describes a project that uses

Uses Software

• RiskMetrics

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