Empirical Issues in Value-at-Risk

DOI10.2143/AST.31.2.1007zbMath1098.62565OpenAlexW2110808143MaRDI QIDQ4661642

Dennis Bams, Jacco L. Wielhouwer

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.31.2.1007

zbMATH Keywords

parameter uncertaintyvalue-at-riskfat tailstime-varying volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

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