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Evaluation of value-at-risk models using historical data

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  • Darryll Hendricks

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  • Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings 512, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhpr:512
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    References listed on IDEAS

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    1. Altman, Edward I., 1977. "Predicting performance in the savings and loan association industry," Journal of Monetary Economics, Elsevier, vol. 3(4), pages 443-466, October.
    2. Elijah Brewer & Hesna Genay, 1994. "Funding small businesses through the SBIC program," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 18(May), pages 22-34.
    3. Sinkey, Joseph F, Jr, 1975. "A Multivariate Statistical Analysis of the Characteristics of Problem Banks," Journal of Finance, American Finance Association, vol. 30(1), pages 21-36, March.
    4. Asli Demirgüč-Kunt, 1989. "Deposit-institution failures: a review of empirical literature," Economic Review, Federal Reserve Bank of Cleveland, vol. 25(Q IV), pages 2-18.
    5. Robert B. Avery & Gerald A. Hanweck, 1984. "A dynamic analysis of bank failures," Research Papers in Banking and Financial Economics 74, Board of Governors of the Federal Reserve System (U.S.).
    6. Gregory R. Gajewski, 1989. "Assessing the risk of bank failure," Proceedings 250, Federal Reserve Bank of Chicago.
    7. Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
    8. James R. Barth & R. Dan Brumbaugh & Daniel Sauerhaft & George Wang, 1985. "Thrift institution failures: causes and policy issues," Proceedings 68, Federal Reserve Bank of Chicago.
    9. Edward J. Kane, 1985. "The Gathering Crisis in Federal Deposit Insurance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262611856, December.
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