Testing VaR Under Basel III with Application to No-Failure Setting (Q5240334)
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scientific article; zbMATH DE number 7122228
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing VaR Under Basel III with Application to No-Failure Setting |
scientific article; zbMATH DE number 7122228 |
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Testing VaR Under Basel III with Application to No-Failure Setting (English)
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25 October 2019
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Lagrange multiplier
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Lagrange multiplier test
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Basel committee
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Bernoulli model
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rejection frequency
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