Evaluating value-at-risk models with desk-level data

Management Science

Volumn 57, Issue 12, 2011, Pages 2213-2227

  Berkowitz, Jeremy ^a   Christoffersen, Peter ^b,c   Pelletier, Denis ^d  

^a UNIVERSITY OF HOUSTON   (United States)

^b MCGILL UNIVERSITY   (Canada)

^c AARHUS UNIVERSITY   (Denmark)

^d NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

Backtesting; Disclosure; Risk management; Volatility

Indexed keywords

BACKTESTING; COMMERCIAL BANK; CONDITIONAL AUTOREGRESSIVE; DATA SETS; DISCLOSURE; MONTE CARLO; MONTE CARLO STUDY; PROFIT AND LOSS; VALUE AT RISK; VOLATILITY;

MONTE CARLO METHODS; PROFITABILITY; RISK ASSESSMENT; RISK MANAGEMENT; VALUE ENGINEERING;

STATISTICAL TESTS;

EID: 83455177636     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1080.0964     Document Type: Article

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