Forecasting value-at-risk using maximum entropy density

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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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Bibliographic Details
Main Author:	Chan, Felix
Other Authors:	Anderssen
Format:	Conference Paper
Published:	The Modelling and Simulation Society of Australia and New Zealand Inc. 2009
Subjects:	GARCH GJR Maximum Entropy Density Value-at-Risk Volatility
Online Access:	http://hdl.handle.net/20.500.11937/22860

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