Evaluation of backtesting on risk models based on data envelopment analysis
Grigorios Kontaxis and Ioannis E. Tsolas
| Year of publication: |
2022
|
|---|---|
| Authors: | Kontaxis, Grigorios ; Tsolas, Ioannis E. |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 17.2022, 1, p. 51-79
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| Subject: | value-at-risk (VaR) | backtesting | data envelopment analysis (DEA) | efficient model selection | risk estimation | Data-Envelopment-Analyse | Data envelopment analysis | Risikomaß | Risk measure | Theorie | Theory | Schätzung | Estimation | Statistischer Test | Statistical test | Risikomanagement | Risk management | Technische Effizienz | Technical efficiency | Risiko | Risk | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2021.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014546256