Navegação Administração por Assunto "Risk forecasting"

Resultados 1-3 de 3

    • A comparison of range value at risk forecasting models 

      Gössling, Thalles Weber (2021) [Dissertação]
      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 ...

    • Essays on model risk for risk measures 

      Müller, Fernanda Maria (2019) [Tese]
      In this dissertation, we present a compilation of three articles discussing model risk for risk measures. In the first one, using Monte Carlo simulation, we analyze the performance of multivariate models in forecasting ...

    • On range value at risk backtesting : a study from expected shortfall procedures 

      Moura, Henrique Rodenbusch de (2023) [Dissertação]
      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 ...