Non parametric VaR Techniques. Myths and Realities

• 1 July 2001
• journal article
• Published by Wiley in Economic Notes
• Vol. 30  (2) , 167-181
• https://doi.org/10.1111/j.0391-5026.2001.00052.x

Abstract

Keywords

• MAIN TECHNIQUES
• TWO MAIN
• REALITIES VAR
• HISTORICAL SIMULATION
• COVARIANCE APPROACH
• BOOTSTRAPPING ESTIMATES
• TRADITIONAL BOOTSTRAPPING
• VARIANCE COVARIANCE
• VAR TECHNIQUES