Add to ORKGThe thesis presents test statistics of Value-at-Risk and Conditional Value-at-Risk. The reader is familiar with basic nonparametric estimators and their asymptotic distributions. Tests of accuracy of Value-at- Risk are explained and asymptotic test of Conditional Value-at-Risk is derived. The thesis is concluded by process of backtesting of Value-at-Risk model using real data and computing statistical power and probability of Type I error for selected tests. Powered by TCPDF (www.tcpdf.org
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk ma...
Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than ...
Dynamic development in the area of value-at-risk (VaR) estimation and growing implementation of VaR-...
Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditi...
This study aims to verify empirically the accuracy of parametric and non-parametric approaches in es...
This chapter reviews the recent developments of Value at Risk (VaR) esti-mation. In this survey, the...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
When comparing the traditional financial risk measurements, Value at Risk(VaR) has its benefits for ...
Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR...
One of the implications of the creation of Basel Committee on Banking Supervision was the implementa...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
This dissertation undertakes a comprehensive framework of the new risk management tool known as Valu...
The aim of this dissertation is is to investigate how VAR computing approaches are implemented in ev...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk ma...
Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than ...
Dynamic development in the area of value-at-risk (VaR) estimation and growing implementation of VaR-...
Conditional Value-at-Risk (equivalent to the Expected Shortfall, Tail Value-at-Risk and Tail Conditi...
This study aims to verify empirically the accuracy of parametric and non-parametric approaches in es...
This chapter reviews the recent developments of Value at Risk (VaR) esti-mation. In this survey, the...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
Value at Risk (VaR) is one of the most popular tools used to estimate exposure to market risks, and ...
When comparing the traditional financial risk measurements, Value at Risk(VaR) has its benefits for ...
Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR...
One of the implications of the creation of Basel Committee on Banking Supervision was the implementa...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
This dissertation undertakes a comprehensive framework of the new risk management tool known as Valu...
The aim of this dissertation is is to investigate how VAR computing approaches are implemented in ev...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk ma...
Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than ...
Dynamic development in the area of value-at-risk (VaR) estimation and growing implementation of VaR-...