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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
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| Series: | Data |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2306-5729/8/8/133 |