Value at risk estimation

DOI10.1007/978-3-642-17254-0_12MaRDI QIDQ3112463zbMATH OpenOpenAlexFDO

Authors Ying Chen, Jun Lu

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_12

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(17)

• Relative risk-value models
• Avoiding zero probability events when computing value at risk contributions
• A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps
• Variance Reduction Techniques for Estimating Value-at-Risk
• scientific article; zbMATH DE number 5668415 (Why is no real title available?)
• A REMARK CONCERNING VALUE-AT-RISK
• scientific article; zbMATH DE number 5525019 (Why is no real title available?)
• Value–at–Risk Models
• PRINCIPAL COMPONENT VALUE AT RISK
• Value at risk linear exponent (VARLINEX) forecasts
• scientific article; zbMATH DE number 7387532 (Why is no real title available?)
• A robust statistical approach to select adequate error distributions for financial returns
• A review of backtesting for value at risk
• A robust closed-form estimator for the GARCH(1,1) model
• Tabulations for value at risk and expected shortfall
• Value at risk and inventory control
• How to estimate the value at risk under incomplete information

Describes a project that uses

Uses Software

• CAViaR

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