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Keywords = Backtesting
Number of Articles: 2
Introduction and Performance Comparison of some Common Multi-period VaR Forecasting Methods: A Case Study of the Tehran Stock Exchange
Volume 19, Issue 60 , October 2014, , Pages 1-35
Abstract
According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy. Hence, finding efficient models for forecasting multi-period VaR is crucial for Chief Risk Officers (CRO) in general and Financial ... Read MoreEvaluation of VaR Estimates based on ARCH type Models
Volume 16, Issue 47 , July 2011, , Pages 53-73