1998
Issues in Value-at-Risk Modeling and Evaluation
Publication
Publication
Quarterly review - Federal Reserve Bank of New York p. 105- 128
Discusses the issues in value-at-risk modeling and evaluation. Value of value at risk; Horizon problems and extreme events in financial risk management; Methods of evaluating value-at-risk estimates.
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| hdl.handle.net/1765/12474 | |
| Quarterly review - Federal Reserve Bank of New York | |
| Organisation | Erasmus School of Economics |
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Daníelsson, J., de Vries, C., Jorgensen, B., Christoffersen, P., Diebold, F., Schuermann, T., … Hirtle, B. (1998). Issues in Value-at-Risk Modeling and Evaluation. Quarterly review - Federal Reserve Bank of New York, 105–128. Retrieved from http://hdl.handle.net/1765/12474 |
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