Risk Management and Capital Adequacy

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Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, methodology): “, independent of a model and essentially error free) and then used for daily prediction purposes [see Martens (2001), Giot and Laurent (2004), Galbraith and Kisinbay (2005), Koopman, Jungbacker, and Hol (2005), and the references therein].”