Hull-White’s value at risk model: case study of Baltic equities market
Analysis of the applicability of the Hull and White (FHS) model on the Baltic equities market has not been the subject of significant research, especially not in the context of meeting the Basel Committee backtesting rules. The paper discusses the applicability of different variants of this model,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2017-10-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/1242 |