Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backtesting Parametric Value-at-Risk With Estimation Risk |
scientific article |
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Backtesting Parametric Value-at-Risk With Estimation Risk (English)
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11 October 2010
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backtesting
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basel accord
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conditional quantile
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estimation risk
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fixed
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rolling
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and recursive forecasting scheme
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forecast evaluation
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risk management
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value-at-risk
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0.91909635
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0.90698093
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0.9055765
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0.9049753
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0.90390193
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0.8953933
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0.8781338
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