Solvency II value-at-risk (VaR) models focus on a one-year horizon and a confidence interval of 0.5%. To accurately backtest such models, a multiple of 200 years of historic data is necessary. Due to ...
Solvency II value-at-risk (VaR) models focus on a one-year horizon and a confidence interval of 0.5%. To accurately backtest such models, a multiple of 200 years of historic data is necessary. Due to ...
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