Monitoring value-at-risk and expected shortfall forecasts
Year of publication: |
2023
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Authors: | Hoga, Yannick ; Demetrescu, Matei |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 69.2023, 5, p. 2954-2971
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Subject: | backtests | exact distributions | forecasting | risk measures | sequential monitoring | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Theorie | Theory | Messung | Measurement | Risikomanagement | Risk management | Volatilität | Volatility | ARCH-Modell | ARCH model | Risiko | Risk | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test |
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