Backtesting for Risk-Based Regulatory Capital
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Cited by:
- Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003.
"Testing Expected Shortfall Models for Derivative Positions,"
Other publications TiSEM
98c22c46-0588-477f-b532-4, Tilburg University, School of Economics and Management.
- Kerkhof, F.L.J. & Melenberg, B. & Schumacher, J.M., 2003. "Testing Expected Shortfall Models for Derivative Positions," Discussion Paper 2003-24, Tilburg University, Center for Economic Research.
- Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
- Kerkhof, F.L.J., 2003. "Model risk analysis for risk management and option pricing," Other publications TiSEM 01692df5-4c2d-4ed2-8108-4, Tilburg University, School of Economics and Management.
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