Detecting underestimates of risk in VaR models
S Thiele - Journal of Banking & Finance, 2019 - Elsevier
… for the 1% exceedance rate (size of the test) are based on 100,000 simulations using the asymptotic critical values, except for M C S U C 1 t which uses simulation based inference. All …
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… for the 1% exceedance rate (size of the test) are based on 100,000 simulations using the asymptotic critical values, except for M C S U C 1 t which uses simulation based inference. All …