Back-testing the VaR risk measure: an empirical study (original) (raw)
Related papers
Value at risk (VaR) backtesting 'Evidence from a South African market portfolio
2013
Back-Testing Approaches for Validating Var Models
International Journal of Engineering Science Technologies
Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio
2011
VaR-x: fat tails in financial risk management
International Journal of Central Banking, 2002
Measuring financial risk : comparison of alternative procedures to estimate VaR and ES
2008
Investment Risk by Parametric VaR: A Fallacy as a True Measurement
Alberto Agudelo, [JIFM] Journal of Insurance and Financial Management
Journal of Insurance and Financial Management, 2022
Managing market risk with VaR (Value At Risk)
Management Journal of Contemporary Management Issues, 2013
Estimating the Accuracy of Value-at-Risk (VAR) in Measuring Risk in Equity Investment in India
SSRN Electronic Journal, 2000
A Comparative Performance of Conventional Methods for Estimating Market Risk Using Value at Risk
Cyprian Omari, sciepub.com SciEP
A robust VaR model under different time periods and weighting schemes
Review of Quantitative Finance and Accounting, 2007
Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange
Journal of Money and Economy, 2021
Evaluating the Predictive Performance of Value-at- Risk (VaR) Models on Nordic Market Indices.
Value-at-risk (VAR) analysis of the UK banking stocks
Pressacademia, 2021
Quality control of risk measures: backtesting VAR models
The Journal of Risk, 2007
2020
VaR Analysis for the Shanghai Stock Market
ipcsit.com
RISK MANAGEMENT - AN INTRODUCTION TO VALUE AT RISK (VaR) AND ITS COMPUTATION (USING EXCEL)
Testing Applicability of Value at Risk Models in Stocks Markets
Mediterranean Journal of Social Sciences, 2014
Value at Risk (VaR) in uncertainty: Analysis with parametric method and Black & Scholes simulations
Felipe A Pérez-Sosa, Humberto Banda
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
SSRN Electronic Journal, 2000
Investment Management and Financial Innovations
Economic Research-Ekonomska Istraživanja, 2015
Application of VaR (Value at Risk) method on Belgrade Stock Exchange (BSE) optimal portfolio
2014
… de Administracio 'n, enero-junio de, 2004
Jurnal Matematika, Statistika dan Komputasi
Risk management for asset managers: A test of relative VaR
Journal of Asset Management, 2005
A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns
Journal of Mathematical Finance, 2012
Variance – Covariance (Delta Normal) Approach of Var Models:An Example Frombombay Stock Exchange
Zenodo (CERN European Organization for Nuclear Research), 2019
2004
Range-based models in estimating value-at-risk (VaR)
2008