Robust Value at Risk Prediction

By Loriano Mancini, Fabio Trojani. 2007

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f69556a7972153c4b294e3a2007f70badbfa78d9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Marius Hofert
2. Paul Embrechts
3. M. Nieto
4. Esther Ruiz
5. Andrew J. Patton
6. Eike C. Brechmann
7. Claudia Czado
8. Kjersti Aas

In Management Science and Operations Research

1. M. Nieto
2. Marius Hofert
3. Esther Ruiz
4. Paul Embrechts
5. Ludger Rüschendorf
6. Andrew J. Patton
7. Claudia Czado
8. Fabrizio Durante

In Statistics and Probability

1. Marius Hofert
2. Paul Embrechts
3. Esther Ruiz
4. M. Nieto
5. Toshinao Yoshiba

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, methodology): “…they show that the bootstrap method of Christoffersen and GonÇalves (2005) performs better than the asymptotic approximation they propose; see also Mancini and Trojani (2011) for an implementation of the procedure proposed by Christoffersen and GonÇalves (2005) to compute the uncertainty of VaR…”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “…8 is to be interpreted in a precise statistical sense, like in Huber and Ronchetti (2009) or Hampel et al. (2005), then relevant information is to be found in Dell’Aquila and Embrechts (2006) and Mancini and Trojani (2011); these papers concentrate on robust estimation of risk measures like VaR.”