Mark to market value at risk

DOI10.1016/J.JECONOM.2018.09.017zbMath1452.62751OpenAlexW2895316051WikidataQ129130404 ScholiaQ129130404MaRDI QIDQ1739653

Zhi-Cheng Wang, Zhengjun Zhang, Yu Chen

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.017

zbMATH Keywords

risk managementvalue at riskhistorical simulationaccount settlementsmark to market

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ PELVE: probability equivalent level of VaR and ES ⋮ Editorial for the special issue on financial engineering and risk management for JoE

Uses Software

• CAViaR

Cites Work

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• Moment inequalities for mixing sequences of random variables
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• Uniform Limit Theorems for the Maximum Cumulative Sum in Probability
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