Backtesting Parametric Value-at-Risk With Estimation Risk
- 1 January 2010
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 28 (1) , 36-51
Abstract
One of the implications of the creation of the Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as the standard tool for measuring market risk. Since then, the c...Keywords
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