Browsing by Subject "Value at risk"
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Backtesting the modified VaR and Expected Shortfall methods: For non-linear portfolios within basel accords (2018-05)The banks have to measure the market risk daily for the calculation of their capital adequacy. According to the Fundamental Review of Trading Book (FRTB) market risk revision, which was released in 2016 by the Basel Committee ...
Ranking the predictive performances of value-at-risk estimation methods (Elsevier, 2012)We introduce a ranking model and a complementary predictive ability test statistic to investigate the forecasting performances of different Value at Risk (VaR) methods, without specifying a fixed benchmark method. The ...
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