Comparison of VaR Methods
Prateek Bedi
Comparison of VaR Methods The Case of Indian Equities - Pages : 24-36 Include Tables and Content
Backsting
Historical VaR
Kupiec's POF Test
GARCH (1,1)
VaR
Volatility Weighted Historical Simulation VaR
Normal VaR
Value at Risk
Comparison of VaR Methods The Case of Indian Equities - Pages : 24-36 Include Tables and Content
Backsting
Historical VaR
Kupiec's POF Test
GARCH (1,1)
VaR
Volatility Weighted Historical Simulation VaR
Normal VaR
Value at Risk