scholarly journals How Accurate are Value-at-Risk Models at Commercial Banks?

2001 ◽  
Vol 2001 (31) ◽  
pp. 1-27
Author(s):  
Jeremy Berkowitz ◽  
◽  
James M. O'Brien
Keyword(s):  
At Risk ◽  
Commercial Banks ◽  
Value At Risk ◽  
Risk Models

scholarly journals How Accurate Are Value-at-Risk Models at Commercial Banks?

2002 ◽  
Vol 57 (3) ◽  
pp. 1093-1111 ◽  
Author(s):  
Jeremy Berkowitz ◽  
James O'Brien
Keyword(s):  
At Risk ◽  
Commercial Banks ◽  
Value At Risk ◽  
Risk Models

scholarly journals Evaluating Value-at-Risk Models with Desk-Level Data

2011 ◽  
Vol 57 (12) ◽  
pp. 2213-2227 ◽  
Author(s):  
Jeremy Berkowitz ◽  
Peter Christoffersen ◽  
Denis Pelletier
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Level Data

Selection of Value-at-Risk models

2003 ◽  
Vol 22 (4) ◽  
pp. 337-358 ◽  
Author(s):  
Mandira Sarma ◽  
Susan Thomas ◽  
Ajay Shah
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Selection Of

A proposal for evaluating value-at-risk models

2000 ◽  
Vol 28 (3) ◽  
pp. 378-378
Author(s):  
Marta Korczak
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models

scholarly journals Combination of Value-at-Risk Models with Support Vector Machine

2009 ◽  
Vol 16 (5) ◽  
pp. 791-801
Author(s):  
Yong-Tae Kim ◽  
Joo-Yong Shim ◽  
Jang-Taek Lee ◽  
Chang-Ha Hwang
Keyword(s):  
At Risk ◽  
Support Vector Machine ◽  
Value At Risk ◽  
Support Vector ◽  
Risk Models
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