Within the broader risk management function at financial institutions, the aim of risk model validation is to assess the goodness of the risk model in forecasting features of the distribution of future returns on a given portfolio, whether static or dynamic in its composition, of financial assets and liabilities
Evaluation of value at risk models: an empirical likelihood approach
F. Campobasso
2023-01-01
Abstract
Within the broader risk management function at financial institutions, the aim of risk model validation is to assess the goodness of the risk model in forecasting features of the distribution of future returns on a given portfolio, whether static or dynamic in its composition, of financial assets and liabilitiesFile in questo prodotto:
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