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Evaluation of value-at-risk models using historical data

Darryll Hendricks

No 512, Proceedings from Federal Reserve Bank of Chicago

Keywords: Risk (search for similar items in EconPapers)
Pages: 334-362
Date: 1996
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Published in Conference on Bank Structure and Competition (1996 : 32rd) ; Risk measurement and systemic risk: joint central bank research conference (1995: November 16-17)

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