Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach
A Value-at-Risk (VaR) forecast may be calculated for the case of a random loss alone and/or of a random loss that depends on another random loss. In both cases, the VaR forecast is obtained by employing its (conditional) probability distribution of loss data, specifically the quantile of loss distri...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2020/8276019 |
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