Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
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References listed on IDEAS
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
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- Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005.
"Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia,"
Borradores de Economia
343, Banco de la Republica de Colombia.
- Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA.
- Pérignon, Christophe & Deng, Zi Yin & Wang, Zhi Jun, 2008. "Do banks overstate their Value-at-Risk?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 783-794, May.
- 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.), revised 2005.
More about this item
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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