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Evaluating Value at Risk Methodologies: Accuracy versus Computational Time

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Author Info
Matthew Pritsker
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File URL: http://hdl.handle.net/10.1023/A:1007978820465
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Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 12 (1997)
Issue (Month): 2 (October)
Pages: 201-242
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Handle: RePEc:kap:jfsres:v:12:y:1997:i:2:p:201-242

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Web page: http://www.springerlink.com/link.asp?id=102934

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  1. Sean D. Campbell, 2005. "A review of backtesting and backtesting procedures," Finance and Economics Discussion Series 2005-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Michael S. Gibson, 2001. "Incorporating event risk into value-at-risk," Finance and Economics Discussion Series 2001-17, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  3. Michael S. Gibson & Matthew Pritsker, 2000. "Improving grid-based methods for estimating value at risk of fixed-income portfolios," Finance and Economics Discussion Series 2000-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17. [Downloadable!]
    Other versions:
  6. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  7. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Michael S. Gibson, 1998. "The implications of risk management information systems for the organization of financial firms," International Finance Discussion Papers 632, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Cotter, John & Dowd, Kevin, 2007. "Estimating financial risk measures for futures positions: a non-parametric approach," MPRA Paper 3503, University Library of Munich, Germany. [Downloadable!]
  10. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  11. Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John Jordan & Eric Rosengren, 2003. "Capital and risk: new evidence on implications of large operational losses," Working Papers 03-5, Federal Reserve Bank of Boston. [Downloadable!]
    Other versions:
  12. Matthew Pritsker, 2001. "The hidden dangers of historical simulation," Finance and Economics Discussion Series 2001-27, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.

This page was last updated on 2008-8-25.


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