Statements (17)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:alsoKnownAs |
Kupiec test
|
| gptkbp:appliesTo |
finance
risk management |
| gptkbp:assesses |
frequency of VaR exceptions
unconditional coverage |
| gptkbp:citation |
Techniques for Verifying the Accuracy of Risk Measurement Models (Kupiec, 1995)
|
| https://www.w3.org/2000/01/rdf-schema#label |
Kupiec algorithm
|
| gptkbp:introducedIn |
1995
|
| gptkbp:proposedBy |
Paul Kupiec
|
| gptkbp:relatedTo |
statistical hypothesis testing
backtesting value-at-risk |
| gptkbp:type |
likelihood ratio test
|
| gptkbp:usedFor |
backtesting value-at-risk models
|
| gptkbp:bfsParent |
gptkb:Julian_Kupiec
|
| gptkbp:bfsLayer |
7
|