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The value of models

Publisher
Elsevier Science
Year
1918
Tongue
English
Weight
141 KB
Volume
185
Category
Article
ISSN
0016-0032

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Selection of Value-at-Risk models
Selection of Value-at-Risk models
✍ Mandira Sarma; Susan Thomas; Ajay Shah πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 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