Value-at-risk (VAR) Estimation and Backtesting During COVID-19: Empirical Analysis Based on BRICS and US Stock Markets
Value-at-Risk (VaR) je najbežnejším a najpoužívanejším rizikovým meradlom, ktoré podniky, najmä veľké bankové korporácie a spoločnosti investičných bánk, využívajú vo svojich procesoch znižovania rizika. Cieľom tejto štúdie je preskúmať modely odhadu VaR a ich predikčnú schopnosť pomocou série metód...
Salvato in:
| Autore principale: | |
|---|---|
| Altri autori: | |
| Natura: | Capitolo di libro |
| Lingua: | inglese |
| Soggetti: | |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
Documenti analoghi: Value-at-risk (VAR) Estimation and Backtesting During COVID-19: Empirical Analysis Based on BRICS and US Stock Markets
- Model value at risk (VaR)
- Estimation and performance assessment of Value-at-Risk and expected shortfall based on long-memory GARCH-class models
- Stock Performance During Covid-19 Pandemic by Sector: Conditional Value at Risk Approach
- Stock markets prediction application of new genetic annealed neural network
- Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis
- Value at risk III. Indexový VCV model a diagnostika modelu value at risk