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Backtesting Value-at-Risk: A Generalized Markov Framework∗ Thor Pajhede† October 20, 2015 Abstract Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market
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Document Date: 2016-07-08 02:22:13
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Backtesting Value-at-Risk: A Generalized Markov Framework∗ Thor Pajhede† October 20, 2015 Abstract Testing the validity of Value-at-Risk (VaR) forecasts, or backtesting, is an integral part of modern market