Forecasting value-at-risk using maximum entropy density
Despite its shortcoming, Value-at-Risk (VaR) remains as one of the most important measures of riskfor financial assets. Although it is used widely by regulatory authority in assessing risk of the financial markets, the robust construction of VaR forecasts remains a controversial issue. This paper pr...
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| Format: | Conference Paper |
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The Modelling and Simulation Society of Australia and New Zealand Inc.
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/22860 |