## Techniques for Verifying the Accuracy of Risk Measurement ModelsDivision of Research and Statistics, Division of Monetary Affairs, Federal Reserve Board, 1995 - Bank management - 39 pages |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Common terms and phrases

0.01 critical value acceptance region Accuracy of Risk Allen April assess the accuracy Athanasios Orphanides Berger Gregory F Chebyshev's inequality Chi-Square distribution Christian Gilles critical value estimates critical value loss David degree of freedom error rates failure is observed failure occurs Failure Test false null hypothesis Financial historical simulation Historical Simulation-Based Critical hypothesis p 0.01 internal models approach internal risk measurement large sample likelihood function likelihood ratio test loss distribution LR test statistic Mark Gertler Market Risk Capital minimum value null hypothesis one-day Operating Characteristic Curve Paul H percent level poor power potential loss estimates profit and loss proportion of failures regulatory capital reject the null Risk Capital Requirements risk exposure estimates risk measurement models S-Plus Sankarshan Acharya Simulation-Based Critical Value standard deviation standard errors T-distribution tail probability tail value Techniques for Verifying test based Type II error under-reporting value at risk value loss estimate verification tests verify the accuracy Wayne Passmore