Robust backtesting tests for value-at-risk models

Journal of Financial Econometrics

Volumn 9, Issue 1, 2011, Pages 132-161

  Carlos Escanciano, J ^a   Olmo, Jose ^b  

^a INDIANA UNIVERSITY   (United States)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Backtesting; Basel accord; Forecast evaluation; Model risk; Risk management; Value at risk

Indexed keywords

EID: 78650311656     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq021     Document Type: Article

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