Value at Risk (VaR). Empirical parametric models and evaluation
We compare the performance of two parametric methods with one non parametric for day-to-day Value-at-Risk models for 63 stocks traded in NYSE or NASDAQ for three different sample sizes and two significance levels. We find that Historical Simulation is more accurate, but also more dependent on its pa...
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Μορφή: | Thesis |
Γλώσσα: | English |
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2018
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Διαθέσιμο Online: | http://hdl.handle.net/10889/10894 |