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Alan Cosme Rodrigues da Silva,Claudio Henrique da Silveira Barbedo,Gustavo Silva Araújo,Myrian Beatriz Eiras das Neves
Pág. pp. 97 - 118
The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simul...
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