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Estimation 1 Forecasting model 1 Measurement 1 Messung 1 Prognoseverfahren 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätzung 1 Statistical test 1 Statistischer Test 1 Theorie 1 Theory 1 VAR model 1 VAR-Modell 1
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Free 1
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Book / Working Paper 1
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English 1
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Kratz, Marie 1 Lok, Yen 1 McNeil, Alexander J. 1
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ESSEC WORKING PAPER 1617 1
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ECONIS (ZBW) 1
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Multinomial VAR Backtests : A Simple Implicit Approach to Backtesting Expected Shortfall
Kratz, Marie - 2017
Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tail risk. In this paper it is argued that backtesting of expected shortfall-or the trading book model...
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