Bootstrap historical simulation
In this paper the authors present a new VaR model for the estimation of market risk in banks and other financial institutions. The model is labeled BootstrapHS500, since it is theoretically based on historical simulation and implementation of the bootstrap method. The aim of the paper is to provide...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Association of Serbian Banks
2016-01-01
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| Series: | Bankarstvo |
| Subjects: | |
| Online Access: | http://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2016/1451-43541603036R.pdf |