Backtesting Value-at-Risk: A Duration-Based Approach

By Peter F. Christoffersen, Denis Pelletier. 2003

90 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8e5a180f6c14ab8eb391485712d4a74d47b3c1df

Citations in the corpus

• Do banks overstate their Value-at-Risk? (2008, unknown): “2 For instance, Jorion (2002) shows that disclosed VaRs help to predict the variability of future revenues.”