Powerful backtests for historical simulation expected shortfall models
Zaichao Du, Pei Pei, Xuhui Wang, and Tao Yang
| Year of publication: |
2024
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|---|---|
| Authors: | Du, Zaichao ; Pei, Pei ; Wang, Xuhui ; Yang, Tao |
| Subject: | Backtest | Expected shortfall | Filtered historical simulation | Historical simulation | Risk management | Simulation | Risikomaß | Risk measure | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2252881 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015053499