✦ LIBER ✦

A proposal for evaluating value-at-risk models

✍ Scribed by Marta Korczak

Book ID: 105530333
Publisher: Springer US
Year: 2000
Tongue: English
Weight: 98 KB
Volume: 28
Category: Article
ISSN: 0197-4254
DOI: 10.1007/bf02298329

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Evaluating predictive performance of val

Evaluating predictive performance of value-at-risk models in emerging markets: a reality check

✍ Yong Bao; Tae-Hwy Lee; Burak Saltoglu 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 629 KB

Selection of Value-at-Risk models

✍ Mandira Sarma; Susan Thomas; Ajay Shah 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

## Abstract Value‐at‐Risk (VaR) is widely used as a tool for measuring the market risk of asset portfolios. However, alternative VaR implementations are known to yield fairly different VaR forecasts. Hence, every use of VaR requires choosing among alternative forecasting models. This paper undertak

Empirical likelihood-based evaluations o

Empirical likelihood-based evaluations of Value at Risk models

✍ ZhengHong Wei; SongQiao Wen; LiXing Zhu 📂 Article 📅 2009 🏛 SP Science China Press 🌐 English ⚖ 214 KB

Evaluating Value at Risk Methodologies:

Evaluating Value at Risk Methodologies: Accuracy versus Computational Time

✍ Matthew Pritsker 📂 Article 📅 1997 🏛 Springer 🌐 English ⚖ 569 KB

Two Criteria for Evaluating Risk Predict

Two Criteria for Evaluating Risk Prediction Models

✍ R. M. Pfeiffer; M. H. Gail 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 174 KB

Energy risk management and value at risk

Energy risk management and value at risk modeling

✍ Mehdi Sadeghi; Saeed Shavvalpour 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 197 KB

The value of energy trades can change over time with market conditions and underlying price variables. The rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts. Within oil markets the volatile oil price environme