Testes para avaliação das previsões do value-at-risk e expected shortfall
Jaime Enrique Lincovil, Chang Chiann
| Alternative title: | Assessing value-at-risk and expected shortfall predictions |
|---|---|
| Year of publication: |
2019
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| Authors: | Lincovil, Jaime Enrique ; Chiann, Chang |
| Subject: | Backtesting | Conditional coverage | Empirical power | Expected shortfall | Value-at-risk |
freely available