Article : texte imprimé

Evaluating value-at-risk models with desk-level data

Jeremy Berkowitz, Auteur ; Peter Christoffersen ; Denis Pelletier, Auteur |

Dans Management science (Vol. 57 N° 12, Décembre 2011)

We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the[...]

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