Results 111 to 120 of about 4,544 (205)

Backtesting in VaR Models of Bitcoins [PDF]

Bitcoins is the most famous cryptocurrency in the world and is getting more and more important as an investment product. But from bitcoins’ historical performance, it can be read that this cryptocurrency has large volatilities which brought many risks to
Shen, Jiadi
core  

Study on backtesting techniques of Value-at-Risk for China stock markets

, 2013
1 online resource (38, [48] p.) : col. ill.Includes abstract and appendix.Includes bibliographical references (p. 37-38).VaR is a popular type of technique that focuses on risk measurement, whereas, the precision of VaR model is relied on the backtesting
Yan, Meng
core   +1 more source

Backtesting in VaR Models of Bitcoins

, 2018
Bitcoins is the most famous cryptocurrency in the world and is getting more and more important as an investment product. But from bitcoins’ historical performance, it can be read that this cryptocurrency has large volatilities which brought many risks to
Shen, Jiadi
core  

Investor sentiment and stock portfolio construction: A study based on the black-litterman model. [PDF]

PLoS One
Sun L, Fu B, Liu W.
europepmc   +1 more source

Backtesting verschiedener Handelsstrategien [PDF]

In dieser Arbeit wird untersucht, wie unterschiedliche Handelsstrategien unter verschiedenen Marktbedingungen performen. Dazu werden folgende Forschungsfragen gestellt: 1. Wie unterscheiden sich die kumulativen Erträge verschiedener Handelsstrategien in
Pekarski, Maximilian
core   +2 more sources

Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach. [PDF]

PLoS One
Zhang D, Yan X, Shen F.
europepmc   +1 more source

Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]

Ann Oper Res, 2023
Candila V, Gallo GM, Petrella L.
europepmc   +1 more source

Measuring market risk using extreme value theory [PDF]

The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk.
Mapa, Dennis S., Suaiso, Oliver Q.
core  

Multi-Scale Entropy-Gated Deep Quantile Learning via EntropyFusion-VaR: Tail-Risk Forecasting for U.S. Energy-Sector Equities. [PDF]

Entropy (Basel)
Osman A, Wang Y, Wang Y.
europepmc   +1 more source

Backtesting in risk management

, 2017
Rad opisuje primjenu utvrđivanja pouzdanosti modela u upravljanju rizicima (eng. backtesting). Tema je obrađena na modelu izračuna rizične vrijednosti dnevnog povrata dionice HT-R-A.
Brdar, Iva
core