Browsing Administration by Subject "Range Value at Risk (RVaR)"
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A comparison of range value at risk forecasting models
(2021) [Dissertation]Risk forecasting is an important and helpful process for investors, fund managers, traders, and market makers. Choosing an inappropriate risk forecasting model can trigger irreversible losses. In this context, this study ... -
On range value at risk backtesting : a study from expected shortfall procedures
(2023) [Dissertation]Risk forecasting has played a major role in the risk management process, drawing the attention of financial organizations, regulators, and the academic community over the past decades to develop better tools to measure ...