Value–at–Risk Models

DOI10.1007/978-3-540-71297-8_33zbMath1178.91075OpenAlexW1592935674MaRDI QIDQ3646980

Peter Christoffersen

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_33

zbMATH Keywords

GARCHvalue-at-riskexpected shortfallactive/passive risk management

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Multicriteria decision systems for financial problems ⋮ The role of the information set for forecasting -- with applications to risk management ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing

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