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An Extensive Comparison of Some Well‐Established Value at Risk Methods - MaRDI portal

An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259)

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scientific article; zbMATH DE number 7777530
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An Extensive Comparison of Some Well‐Established Value at Risk Methods
scientific article; zbMATH DE number 7777530

    Statements

    title
    An Extensive Comparison of Some Well‐Established Value at Risk Methods (English)
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    author
    Wilson Calmon
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    Q6088256
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    Q6088257
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    Q6088258
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    Adrian Pizzinga
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    publication date
    13 December 2023
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    zbMATH Keywords
    backtest
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    CAViaR
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    extreme value theory
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    filtered historical simulation
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    higher order moments
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    cites work
    Q5175664
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    Q3099631
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    Q4370586
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    Q3723577
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    Q4343010
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    Q4840212
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    Q3413299
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    Q4727203
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    Q4865051
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91G70
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    zbMATH DE Number
    7777530
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    OpenAlex ID
    W3044102127
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    DOI
    10.1111/INSR.12393
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