A decision rule to minimize daily capital charges in forecasting value-at-risk
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Publication:3065548
DOI10.1002/for.1167zbMath1204.91099OpenAlexW2089163450MaRDI QIDQ3065548
Teodosio Pérez-Amaral, Juan-Angel Jimenez-Martin, Michael McAleer
Publication date: 6 January 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://repub.eur.nl/pub/13986/EI%202008-34.pdf
value-at-riskrisk forecastsdaily capital chargesoptimizing strategyendogenous violationsfrequency of violations
Related Items (5)
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures ⋮ A detailed comparison of value at risk estimates ⋮ Forecasting value-at-risk with a duration-based POT method ⋮ In search of robust methods for multi-currency portfolio construction by value at risk ⋮ A stochastic dominance approach to financial risk management strategies
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