IDEAS home Printed from https://ideas.repec.org/h/spr/mgmchp/978-3-319-72320-4_9.html
   My bibliography  Save this book chapter

Model Choices

In: Hands-On Value-at-Risk and Expected Shortfall

Author

Listed:
  • Martin Auer

    (Raiffeisen Bank International)

Abstract

Without much ado, Chap. 4 outlined a relatively straightforward historical VaR model. In the bank I worked at, such a model proved to work reliably right through the 2008 financial crisis and its aftermath. Many a model aspect, however, could be tuned or tweaked or altered, and this chapter zooms in on some of those model choices. But how to weigh these features, how to choose between model options? Let me give you my personal take on this.

Suggested Citation

  • Martin Auer, 2018. "Model Choices," Management for Professionals, in: Hands-On Value-at-Risk and Expected Shortfall, chapter 9, pages 41-48, Springer.
    • Handle: RePEc:spr:mgmchp:978-3-319-72320-4_9
    DOI: 10.1007/978-3-319-72320-4_9
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:mgmchp:978-3-319-72320-4_9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.