Blar i NTNU Open på forfatter "Nordbø, Nils Petter"
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Evaluating power of Value-at-Risk backtests
Røynstrand, Torgeir; Nordbø, Nils Petter; Strat, Vidar Kristoffer (Master thesis, 2012)Value-at-Risk (VaR) models provide quantile forecasts for future returns. If a loss is greater than or equal to the corresponding VaR forecast, we have a breach. A VaR model is usually validated by considering realized ...