Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Marie Kratz, Yen H. Lok, Alexander J. McNeil
| Year of publication: |
March 2018
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|---|---|
| Authors: | Kratz, Marie ; Lok, Yen H. ; McNeil, Alexander J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 88.2018, p. 393-407
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| Subject: | Backtesting | Banking regulation | Expected shortfall | Financial risk management | Statistical test | Value-at-Risk | Risikomaß | Risk measure | Statistischer Test | Risikomanagement | Risk management | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Theorie | Theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Messung | Measurement | Monte-Carlo-Simulation | Monte Carlo simulation | Finanzrisiko | Financial risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011962940