Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation

Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation

Value at risk is a statistic used to anticipate the largest possible losses over a specific time frame and within some level of confidence, usually 95% or 99%. For risk management and regulators, it offers a solution for trustworthy quantitative risk management tools. VaR has become the most widely...

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Bibliographic Details
Main Authors: Farid Bagheri, Diego Reforgiato Recupero, Espen Sirnes
Format: Article
Language:English
Published: MDPI AG 2023-08-01
Series:Data
Subjects:
VaR estimation
machine learning
return prediction
walking forward optimization
Online Access:https://www.mdpi.com/2306-5729/8/8/133

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https://www.mdpi.com/2306-5729/8/8/133

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