search query: @author Christoffersen, P. / total: 4
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| Author: | Christoffersen, P. Hahn, J. Inoue, A. |
| Title: | Testing and comparing Value-at-Risk measures |
| Journal: | Journal of Empirical Finance
2001 : JUL, VOL. 8:3, p. 325-342 |
| Index terms: | Risk management Econometric models Value-at-risk |
| Language: | eng |
| Abstract: | Value-at-risk has emerged as the standard tool for measuring market risk. More than 80 commercial vendors offer risk management systems that report VaR-like. Risk managers are therefor often left with the daunting task of choosing from a plethora of models. This paper develops a framework, first for testing that the VaR measure at hand is properly specified, and second for picking the best among two models in a statistically meaningful way. |
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