COMPARISON OF ESTIMATION METHODS FOR VALUE-AT-RISK

DOI10.17654/2277141722004zbMath1499.62380OpenAlexW4205245790MaRDI QIDQ5076079

Davy Cardorel Nzaba Kaya, Rafał Kulik, Bernédy Nel Messie Kodia Banzouzi

Publication date: 12 May 2022

Published in: Universal Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/2277141722004

zbMATH Keywords

value-at-riskrisk measurebacktestingmean excess plot\textit{Q-Q} plot

Mathematics Subject Classification ID

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

Uses Software

• QRM

Cites Work

• Coherent Measures of Risk
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