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Estimation of multi-period VaR based on the simulation and parametric methods
Abstract: With regard to the Basel Committee’s emphasis on the necessity of using 10-day Value-at-Risk (VaR) internal models in order to determine minimum market risk capital requirements, and downsides of the square-root-of-time rule, our purpose is to produce more accurate forecasts of the multi-p...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Persa |
| Publicado em: |
University of Tehran
2016-05-01
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| Colecção: | تحقیقات مالی |
| Assuntos: | |
| Acesso em linha: | https://jfr.ut.ac.ir/article_59624_752f2984fa442bdd76fc85c0e6787e31.pdf |
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