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73 (3)
21 (1)

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Del Brio, E. (1)
Gouveia, Ricardo João da Silva (1)
Krecmer, Vladimir (1)
Mora, A. (1)
Perote, J. (1)
Ruivo, Raquel Costa Carvalho (1)

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Backtesting (4)
Value-at-risk (4)
C Mathematical and quantitative methods (2)
Domínio/Área Científica::Ciências Sociais::Economia e Gestão (2)
G Financial economics (2)
Análise de mercado (1)
C32 (1)
C58 (1)
Caixa Geral de Depósitos (1)
Cooperação económica (1)

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Subject: Backtesting Subject: Value-at-risk

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1-4 from 4 results (0.009 seconds)

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

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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: 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

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