Evaluating VaR Forecasts under Stress – The German Experience
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- Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank.
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Keywordsbanking supervision; VaR; exploratory data analysis; backtesting;
- K23 - Law and Economics - - Regulation and Business Law - - - Regulated Industries and Administrative Law
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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