Validation of index and benchmark assignment : adequacy of capturing tail risk
Year of publication: |
2019
|
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Authors: | Prorokowski, Lukasz |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 4, p. 71-105
|
Subject: | Targeted Review of Internal Models (TRIM) | validation | risk proxy | Kolmogorov-Smirnov test | tail risk | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Risikomaß | Risk measure | Risiko | Risk | Benchmarking | Statistischer Test | Statistical test |
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