Search Results - subject:"Backtesting"

BP-CVaR : a novel model of estimating CVaR with back propagation algorithm

Wang, Gang-Jin; Zhu, Chun-Long - In: Economics letters 209 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10013209345

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754

Persistent link: https://www.econbiz.de/10012650157

Coalition feature interpretation and attribution in algorithmic trading models

Hansen, James V. - In: Computational economics 58 (2021) 3, pp. 849-866

Persistent link: https://www.econbiz.de/10012651042

Evaluation of backtesting techniques on risk models with different horizons

Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50

Persistent link: https://www.econbiz.de/10013173367

Bayesian estimation for a semiparametric nonlinear volatility model

Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370

Persistent link: https://www.econbiz.de/10012793996

The transformed Gram Charlier distribution : parametric properties and financial risk applications

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of empirical finance 63 (2021), pp. 323-349

Persistent link: https://www.econbiz.de/10013259272

Forecasting value-at-risk under different distributional assumptions

Braione, Manuela; Scholtes, Nicolas K. - In: Econometrics : open access journal 4 (2016) 1, pp. 1-27

VaR forecasts is assessed by implementing standard statistical backtesting procedures used to rank the different …

Persistent link: https://www.econbiz.de/10011411216

What derives the bond portfolio value-at-risk : information roles of macroeconomic and financial stress factors

Tu, Anthony H.; Chen, Cathy Yi-Hsuan - 2016

This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained on macroeconomic variables and financial shocks can help to explain the...

Persistent link: https://www.econbiz.de/10011437907

Retailer value-at-risk in interconnected power markets : an Australian empirical analysis

Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9

Persistent link: https://www.econbiz.de/10011782375

Advances in multivariate back-testing for credit risk underestimation

Coppens, François; Mayer, Manuel; Millischer, Laurent; … - 2016

When back-testing the calibration quality of rating systems two-sided statistical tests can detect over- and … tests build on the method of Sterne [1954] for ranking possible outcomes by probability, which allows to extend back-testing …

Persistent link: https://www.econbiz.de/10011605930