## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple ValueβatβRisk (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
Market risk and the cattle feeding margin: An application of Value-at-Risk
β Scribed by Mark R. Manfredo; Raymond M. Leuthold
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 133 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0742-4477
- DOI
- 10.1002/agr.1020
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We exploit the similarity between the problem of risk adjustment with prospective reimbursement schemes in the health care sector and the problem of fair compensation analysed in the social choice literature. The starting point is the distinction between two sets of variables in the explanation of m
## ABSTRACT In this paper, we investigate the performance of a class of Mβestimators for both symmetric and asymmetric conditional heteroscedastic models in the prediction of valueβatβrisk. The class of estimators includes the least absolute deviation (LAD), Huber's, Cauchy and Bβestimator, as well