A sequential method for the evaluation of the VaR model based on the run between exceed\-ances (Q819416)
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scientific article; zbMATH DE number 5015830
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A sequential method for the evaluation of the VaR model based on the run between exceed\-ances |
scientific article; zbMATH DE number 5015830 |
Statements
A sequential method for the evaluation of the VaR model based on the run between exceed\-ances (English)
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28 March 2006
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value-at-risk
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backtesting
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sequential control
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CUSUM charts
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Shewhart chart
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GARCH processes
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