Evaluation of the Predictive Ability of VaR Models during Different Market Conditions.
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the most popular risk measurement tools. The main purpose of VaR models is to capture future market risks accurately. Thus it is important to gauge the predictive ability of VaR estimates. Consequently, b...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27448/ |