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Value at Risk and Backtesting

  • Jürgen FrankeEmail author
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

With the analysis of (financial) time series, one of the most important goals is to produce forecasts. Using past data one can argue about the future mean, the future volatility, and so on, however a flexible method of producing such estimates will be introduced in this chapter.

Keywords

Risk Measure Market Risk Digital Option Forecast Distribution Exposure Vector 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Jürgen Franke
    • 1
    Email author
  • Wolfgang Karl Härdle
    • 2
    • 3
  • Christian Matthias Hafner
    • 4
  1. 1.FB MathematikTU KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Graduate Institute of StatisticsNational Central UniversityJhongliTaiwan
  4. 4.Inst. StatistiqueUniversité Catholique de LouvainLeuven-la-NeuveBelgium

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