Backtesting Aggregate Risk (Q4687587)
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scientific article; zbMATH DE number 6952582
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backtesting Aggregate Risk |
scientific article; zbMATH DE number 6952582 |
Statements
Backtesting Aggregate Risk (English)
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12 October 2018
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multivariate testing
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integrated risk management
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VaR
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multivariate portmanteau test statistic
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