Introduction and Performance Comparison of some Common Multi-period VaR Forecasting Methods: A Case Study of the Tehran Stock Exchange
According to the Basel accords, financial institutions should forecast VaR of their portfolio over multi-period time horizons in order to determine their capital adequacy. Hence, finding efficient models for forecasting multi-period VaR is crucial for Chief Risk Officers (CRO) in general and Financi...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2014-09-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_1630_67e1acd0211f1db638f5fc4e6cadaa48.pdf |