Value at Risk Estimation
نویسندگان
چکیده
This chapter reviews the recent developments of Value at Risk (VaR) estimation. In this survey, the most available univariate and multivariate methods are presented. The robustness and accuracy of these estimation methods are investigated based on the simulated and real data. In the backtesting procedure, the conditional coverage test (Christoffersen 1998), the dynamic quantile test (Engle and Manganelli 2004) and Ljung-Box test (Berkowitz and O’Brien 2002) are used to justify the performance of the methods.
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