Backtesting and estimation error: value-at-risk overviolation rate
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DOI: 10.1007/s00181-020-01905-4
Abstract: Financial institutions and regulators use value-at-risk (VaR) and related measures as a tool for financial risk management. It is therefore critical to appropriately assess the quality of VaR forecasts and reporting. The VaR estimation error… read more here.
Keywords: value risk; risk; overviolation; estimation error ... See more keywords