Browsing by Author "Zhong, Yan Ping"

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Risk measurement and modelling

Cotter, John ; Zhong, Yan Ping (University College Dublin. School of Business. Centre for Financial Markets, 2005)
Validating the backtests of risk measures

Cotter, John ; Zhong, Yan Ping (2007-09-01)

Financial risk model evaluation or backtesting is a key part of the internal model’s approach to market risk management as laid out by the Basle Committee on Banking Supervision (2004). However there are a number of ...