New VaR Estimation Models Set to Revolutionize Market Risk Management
The article discusses how Value at Risk (VaR) is used to measure market risk in the financial industry. It explains the steps involved in estimating VaR and the different models used for this purpose. The researchers highlight the importance of validating VaR models to ensure they are reliable and accurate. The study also addresses common issues in VaR estimation and provides practical solutions for improving the models.