Multivariate spectral backtests of forecast distributions under unknown dependencies
Year of publication: |
2024
|
---|---|
Authors: | Balter, Janine ; McNeil, Alexander J. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 1, Art.-No. 13, p. 1-15
|
Subject: | backtesting | risk management | value-at-risk | model validation | Basel regulations | Risikomanagement | Risk management | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Basler Akkord | Basel Accord | Statistischer Test | Statistical test | Theorie | Theory | Statistische Verteilung | Statistical distribution | Bankrisiko | Bank risk | Kreditrisiko | Credit risk | Zeitreihenanalyse | Time series analysis |
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