出版社："Educator" Publishing House of Polonia University
摘要：Analysis of the recent research concerning the performance of SRTR rule for VaR scaling as well as other methods such as bootstrap, dependent resampling, non- overlapping periods, independent resampling and different empirical scaling factors were conducted. An importance of the choosing the appropriate method of VaR scaling for solving different financial task, risk analysis and derivatives pricing was stressed in article.
其他摘要：Analysis of the recent research concerning the performance of SRTR rule for VaR scaling as well as other methods such as bootstrap, dependent resampling, non- overlapping periods, independent resampling and different empirical scaling factors were conducted. An importance of the choosing the appropriate method of VaR scaling for solving different financial task, risk analysis and derivatives pricing was stressed in article.
