The following pages link to ESTIMATION-ADJUSTED VAR (Q5403109):
Displaying 7 items.
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default (Q2023954) (← links)
- Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
- Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach (Q2684052) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- Assessing model risk in financial and energy markets using dynamic conditional vars (Q6581598) (← links)
- Risk Measure Inference (Q6616627) (← links)
