Estimation Adjusted VaR
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- Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(4), pages 735-770, August.
References listed on IDEAS
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As found by EconAcademics.org, the blog aggregator for Economics research:- What I Learned Last Week
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00
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- Wang, Zheqi & Crook, Jonathan & Andreeva, Galina, 2020. "Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default," European Journal of Operational Research, Elsevier, vol. 287(2), pages 725-738.
- Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017.
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- Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2015. "Risk Measure Inference," Working Papers halshs-00877279, HAL.
- Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Post-Print hal-01457393, HAL.
- Gourieroux, Christian & Tiomo, Andre, 2019. "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper 95795, University Library of Munich, Germany.
- Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
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More about this item
Keywords
Value-at-Risk; Estimation Risk; Bias Correction; ARCH Model;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2012-10-06 (Banking)
- NEP-ECM-2012-10-06 (Econometrics)
- NEP-RMG-2012-10-06 (Risk Management)
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