Finance and Economics Discussion Series: A Review of Backtesting and Backtesting Procedures

by Sean D. Campbell

This paper reviews a variety of backtests that examine the adequacy of Value-at-Risk (VaR) measures. These backtesting procedures are reviewed from both a statistical and risk management perspective.... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 1288711603
• ISBN13: 9781288711604
• Release Date: February 2013
• Publisher: Bibliogov
• Length: 28 Pages
• Weight: 0.15 lbs.
• Dimensions: 0.1" x 7.4" x 9.7"