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Improving value-at-risk estimates by combining kernel estimation

Author

Listed:
  • J. S. Butler
  • Barry Schachter
Abstract
No abstract is available for this item.

Suggested Citation

  • J. S. Butler & Barry Schachter, 1996. "Improving value-at-risk estimates by combining kernel estimation," Proceedings 513, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhpr:513
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    Citations

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    Cited by:

    1. Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, 2005. "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia.
    2. Jose A. Lopez, 1996. "Regulatory Evaluation of Value-at-Risk Models," Center for Financial Institutions Working Papers 96-51, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    4. Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group.
    5. Xiongwei Ju & Neil D. Pearson, 1998. "Using Value-at-Risk to Control Risk Taking: How Wrong Can you Be?," Finance 9810002, University Library of Munich, Germany.
    6. Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.

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    Keywords

    Risk;

    Statistics

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