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Regulatory evaluation of value-at-risk models using probability forecasts

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  • Jose A. Lopez

Abstract

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Suggested Citation

  • Jose A. Lopez, 1997. "Regulatory evaluation of value-at-risk models using probability forecasts," Proceedings 552, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhpr:552
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    Cited by:

    1. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
    2. Glynn Tonsor & Ted Schroeder, 2011. "Multivariate forecasting of a commodity portfolio: application to cattle feeding margins and risk," Applied Economics, Taylor & Francis Journals, vol. 43(11), pages 1329-1339.

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