Risk2: Measuring the risk in value at risk

Financial Analysts Journal

Volumn 52, Issue 6, 1996, Pages 47-56

  Jorion, Philippe ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0002899375     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n6.2039     Document Type: Review

References (7)

1. Beder, Tanya Styblo. 1995. "VAR: Seductive but Dangerous." Financial Analysts Journal, vol. 51, no. 5 (September/October):12-24.
2. Bollerslev, Tim, R. Chou, and K. Kroner. 1992. "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics, vol. 52, no. 1 (April/May):5-59.
3. Jorion, Philippe. 1993. Big Bets Cone Bad: Derivatives and Bankruptcy in Orange County. San Diego: Academic Press.
4. _. 1996. Value at Risk: The New Benchmark for Controlling Market Risk. Chicago: Irwin.
5. Kendall, M. 1994. Kendall's Advanced Theory of Statistics. New York: Halsted Press.
6. Kupiec, P. 1995. "Techniques for Verifying the Accuracy of Risk Measurement Models." Journal of Derivatives, vol. 2 (December):73-84.
7. Sheather, S., and J. Marron. 1990. "Kernel Quantile Estimators." American Statistical Association Journal, vol. 85 (June):410-16.