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The hidden dangers of historical simulation · Study

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ArticleThe hidden dangers of historical simulation

Matthew G. Pritsker2005

OA

Articlegreen2005

The hidden dangers of historical simulation

Matthew G. Pritsker

270 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 270 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1999Coherent Measures of Risk 2002Conditional value-at-risk for general loss distributions 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1998Evaluating Interval Forecasts 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2004CAViaR

Cited by

2010Evaluating Value-at-Risk Models via Quantile Regression 2013A comprehensive review of Value at Risk methodologies 2005Estimation risk in financial risk management 2008Developing a stress testing framework based on market risk models 2008Robust optimization of conditional value at risk and portfolio selection 2002An introduction to market risk measurement 2005A Review of Backtesting and Backtesting Procedures 2016Frontiers in VaR forecasting and backtesting

Details

Year2005

Typearticle

Published2005-06-15

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations270

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jbankfin.2005.04.013

openalex_workW1993369296

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