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Showing 1 to 1 of 1 for “"Kalman Filter, Value-at-Risk"”.
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Estimating value at risk and expected shortfall: a kalman filter approach
Calculating Value-at-Risk (VaR) to estimate the maximum loss a portfolio may incur at a given confidence level and over a specified time has undergone several adaptations, iterations, and additions since its inception in 1994. In 2013, the Basel Committee on Banking Supervision (BCBS) replaced VaR …