Development of Systematic Backtesting Processes of Value-at-Risk
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Helsinki University of Technology |
Diplomityö
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Date
2007
Major/Subject
Sovellettu matematiikka
Mcode
Mat-2
Degree programme
Language
en
Pages
90
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Description
Supervisor
Salo, AhtiKeywords
Value-at-Risk, Value-at-Risk, backtesting, backtesting, forecast testing, ennustuskyvyn testaus, conditional coverage, ehdollinen historiallinen simulaatio, historical simulation, riskien hallinta, risk management, pääomavaade, capital requirement