Backtesting Parametric Value-at-Risk With Estimation Risk

DOI10.1198/jbes.2009.07063zbMath1197.91111OpenAlexW3125673041MaRDI QIDQ3160930

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.07063

zbMATH Keywords

conditional quantile rolling value-at-risk risk management forecast evaluation estimation risk backtesting fixed and recursive forecasting scheme basel accord

Mathematics Subject Classification ID

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