Assessment Methods for Measuring Value at Risk Based on the Hit Function
The aim of this paper is to provide tools to aid the management process of Financial Risk. Backtesting is the necessary procedure to choose and to evaluate the stability of a value at risk (VaR) models. This paper presents some typical, statistical methods based on the hit function. Advantages and d...
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| Datum: | 2009 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут проблем моделювання в енергетиці ім. Г.Є. Пухова НАН України
2009
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| Schriftenreihe: | Электронное моделирование |
| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/101528 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | Assessment Methods for Measuring Value at Risk Based on the Hit Function / W. Skrodzka // Электронное моделирование. — 2009. — Т. 31, № 6. — С. 55-64. — Бібліогр.: 9 назв. — англ. |