𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

✍ Scribed by Berger, T.; Missong, M.


Book ID
120593965
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
263 KB
Volume
33
Category
Article
ISSN
1057-5219

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Market risk management of banks: implica
✍ Michael Chak Sham Wong; Wai Yan Cheng; Clement Yuk Pang Wong πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 87 KB πŸ‘ 1 views

## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value‐at‐Risk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle C