Value-at-risk forecasts under scrutiny—the German experience

DOI10.1080/14697680600999104zbMath1154.91506OpenAlexW1973489115MaRDI QIDQ5440103

Gerhard Stahl, Richard Stehle, Stefan R. Jaschke

Publication date: 31 January 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600999104

zbMATH Keywords

exploratory data analysisVaRbacktestingbanking supervision

Mathematics Subject Classification ID

Related Items (1)

Model Uncertainty in a Holistic Perspective

Uses Software

• evd

Cites Work

• Bootstraps for time series
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• The Well-Calibrated Bayesian
• On Testing the Validity of Sequential Probability Forecasts
• Remarks on a Multivariate Transformation

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