Backtesting expected shortfall : a simple recipe?
Felix Moldenhauer and Marcin Pitera
| Year of publication: |
2019
|
|---|---|
| Authors: | Moldenhauer, Felix ; Pitera, Marcin |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019, 1, p. 17-42
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| Subject: | value-at-risk (VaR) | expected shortfall (ES) | backtesting | backtest | internal model-based approach (IMA) | unconditional coverage test | Risikomaß | Risk measure | Statistischer Test | Statistical test | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2019.418 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177098