.png){kind=icon}
返回
Frontiers in VaR forecasting and backtesting
.png){kind=icon}
PRE
AI
DOI：10.1016/j.ijforecast.2015.08.003.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature. (C) 2015 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Keyword:
Backtesting
Extreme value theory
GARCH
Quantile
Risk
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
7.1
论文数:
3.1K
被引数:
9.9K
机构
引用论文
.png){kind=icon}
分享收藏
查看更多内容