Comparative analysis of sigma-based, quantile-based and time series VaR estimators
Since its inception at the end of the XX century, VaR risk measure has gained massive popularity. It is synthetic, easy in interpretation and offers comparability of risk levels reported by different institutions. However, the crucial idea of comparability of reported VaR levels stays in contradicti...
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| Format: | Article |
| Language: | English |
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Lodz University Press
2015-05-01
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| Series: | Acta Universitatis Lodziensis. Folia Oeconomica |
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| Online Access: | https://czasopisma.uni.lodz.pl/foe/article/view/573 |