Risk evaluation in financial risk management: prediction limits and backtesting
نویسندگان
چکیده
منابع مشابه
Financial Risk Measurement for Financial Risk Management∗
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfoliolevel and asset-level analysis. Asset-level analysis is particularly challenging becau...
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The views expressed in this paper are those of the authors and do not necessarily reflect those of the Reserve Bank of Australia. A number of people (both within the Reserve Bank and from other banks) provided useful comments. We are particularly grateful to Phil Lowe, Brian Gray and the bank that provided the data for testing.
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ژورنال
عنوان ژورنال: The Journal of Risk Model Validation
سال: 2009
ISSN: 1753-9579
DOI: 10.21314/jrmv.2009.039