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My bibliography Save this articleComparison of Alternative Approaches to VaR Evaluation
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- McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
- Pritsker, Matthew, 2006. "The hidden dangers of historical simulation," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 561-582, February.
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Keywords
market risk; VaR; analytical; historical; simulation and hybrid VaR;All these keywords.
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