Backtesting value-at-risk and expected shortfall in the presence of estimation error
Sander Barendse, Erik Kole and Dick van Dijk
| Year of publication: |
2023
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|---|---|
| Authors: | Barendse, Sander ; Kole, Erik ; Dijk, Dick van |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 2, p. 528-568
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| Subject: | backtesting | expected shortfall | risk management | tail risk | value-at-risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Theorie | Theory | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Bankrisiko | Bank risk | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314760