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Subject: Backtesting

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Title: Análisis de las metodologías para la medición de riesgos financieros en Colombia de renta variable caso Ecopetrol
Author: Aguillon Ortega, Yanir Andreina
Language: Español
Repository: 40
Subject: Riesgos / Metodologías / Acciones / Simulación / Mercado financiero / Backtesting / Financial market / Risks / Methodologies / Actions / Simulation / Probabilidades / Riesgo (finanzas) / Riesgo (economía) / Planificación económica / Indicadores económicos / Estrategias para el desarrollo

Acceder
Title: Análisis comparativo de las metodologías de estimación Semiparamétricas y vía cópulas del valor en riesgo (VAR) en el mercado renta variable colombiano periodo 2008-2016
Author: Alba Suárez, Miguel Antonio / Pineda Rios, Wilmer Dario / Deaza Cháves, Javier
Language: Desconocido
Repository: 40
Subject: Mercado de renta variable / VAR / GARCH / CVAR / Backtesting / Equity market / Credit / Finance system / Financial market / Crédito / Sistema financiero / Mercado financiero

Acceder
Title: Optimization of technical trading rules in forex market using genetic algorithm
Author: Silva, Pedro Franco
Language: Inglés
Repository: 73
Subject: Technical analysis / Genetic algorithm / Efficient market hypothesis / Backtesting / Análise técnica / Algoritmo / Finanças

Acceder
Title: Implied volatility: can we improve VAR models?
Author: Krecmer, Vladimir
Language: Inglés
Repository: 73
Subject: Implied volatility / Stocks / Value-at-risk / Backtesting / Análise de mercado / Cooperação económica / Metodologia VAR -- Vectores autoregressivos / Domínio/Área Científica::Ciências Sociais::Economia e Gestão / C32 / G17 / C Mathematical and quantitative methods / G Financial economics

Acceder
Title: Saddle-point approach: backtesting VaR models in the presence of extreme losses
Author: Gouveia, Ricardo João da Silva
Language: Inglés
Repository: 73
Subject: Backtesting / Value-at-risk / Time series / Risk management / Gestão do risco / Modelos de risco / Séries temporais / Domínio/Área Científica::Ciências Sociais::Economia e Gestão / C58 / G32 / C Mathematical and quantitative methods / G Financial economics

Acceder
Title: Backtesting var models: an application to Caixa Geral de Depóstitos
Author: Ruivo, Raquel Costa Carvalho
Language: Inglés
Repository: 73
Subject: Backtesting / Historical simulation / Value-at-risk / Caixa Geral de Depósitos / Simulação histórica

Acceder
Title: Modeling volatility: an assessment of the value at risk approach
Author: Vieira, Joana Bruno
Language: Inglés
Repository: 73
Subject: Value at risk / Volatility / GARCH / Backtesting

Acceder
Title: Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Author: Del Brio, E. / Mora, A. / Perote, J.
Language: Inglés
Repository: 21
Subject: Gram¿Charlier / DCC / Expected shortfall / Backtesting / Commodity ETF

Acceder
Title: Risk quantification for commodity ETFs: Backtesting value-atrisk and expected shortfall
Author: Del Brio, E. / Mora, A. / Perote, J.
Language: Inglés
Repository: 21
Subject: Value-at-risk / Expected shortfall / Backtesting / Gram-Charlier expansion

Acceder

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