Search Results - "Backtesting"

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  1. 1
    It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?

    It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management? by Da Veiga, Bernardo, Chan, Felix, McAleer, Michael

    Published 2012
    Subjects: Get full text
  2. 2
    An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model

    An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model by Gao, Song

    Published 2014
    Subjects: “…Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk…”
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  3. 3
    A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches

    A Comparison of Chinese and UK Portfolios Using Value-at-Risk Approaches by ZHOU, Mengjia

    Published 2013
    Subjects: Get full text

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