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Extended Analysis of Back Testing Framework for Value at Risk
Company: Universiteit Twente
Year Of Publication: 2008
Month Of Publication: August
Pages: 64
Download Count: 3
View Count: 1205
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 8-24-2012
Publisher: Administrator
Summary
We implemented five back tests in a test framework that Rabobank International can use for the periodic back testing beyond regulation.
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van Roekel, G.J. Sign in to follow this author
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