Multinomial var backtests : a simple implicit approach to backtesting expected shortfall

Marie Kratz, Yen Lok, Alexander McNeil

Year of publication:	[2016]
Authors:	Kratz, Marie ; Lok, Yen ; McNeil, Alexander J.
Publisher:	[Cergy-Pontoise] : ESSEC Business School
Subject:	Risikomaß \| Risk measure \| Statistischer Test \| Statistical test \| VAR-Modell \| VAR model \| Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| Risikomanagement \| Risk management \| Schätzung \| Estimation \| Messung \| Measurement

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