Thor Pajhede

University of Copenhagen - Department of Economics

Ă˜ster Farimagsgade 5

Bygning 26

1353 Copenhagen K.

Denmark

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Scholarly Papers (1)

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Backtesting Value-at-Risk: A Generalized Markov Framework

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 15-18
Number of pages: 29 Posted: 21 Nov 2015
Thor Pajhede
University of Copenhagen - Department of Economics
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Abstract:

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Value-at-Risk, Backtesting, Risk Management, Markov Chain, Duration-based test, quantile, likelihood ratio, maximum likelihood