On the appropriateness of inappropriate VaR models (Q878314)
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scientific article; zbMATH DE number 5146394
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the appropriateness of inappropriate VaR models |
scientific article; zbMATH DE number 5146394 |
Statements
On the appropriateness of inappropriate VaR models (English)
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26 April 2007
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value-at-risk
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market index model
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principal components
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random effects model
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probability forecast
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