Search Results - subject:"Backtesting" - EconBiz

Macroscopic properties of equity markets : stylized facts and portfolio performance

Campbell, Steven; Song, Qien; Wong, Ting-Kam Leonard - In: Quantitative finance 25 (2025) 9, pp. 1375-1397

Persistent link: https://www.econbiz.de/10015534197

Risk Management for Cryptocurrency Portfolios

He, Yifan; Lindquist, W. Brent; Račev, Svetlozar T.; … - 2025

backtesting suite consisting of value-at-risk tests, including binomial and traffic-light procedures, plus Kupiec, Christoffersen …

Persistent link: https://www.econbiz.de/10015596832

A comparison of market risk measures from a twofold perspective: Accurate and loss function

Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN Journal of Finance and Risk Perspectives (JOFRP) 11 (2022), pp. 79-104

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...

Persistent link: https://www.econbiz.de/10015470524

A comparison of market risk measures from a twofold perspective : accurate and loss function

Muela, Sonia Benito; López-Martin, Carmen; … - In: ACRN journal of finance and risk perspectives 11 (2022), pp. 79-104

Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are...

Persistent link: https://www.econbiz.de/10014235034

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013273453

Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2022

Persistent link: https://www.econbiz.de/10013279729

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - In: Journal of financial econometrics 20 (2022) 3, pp. 437-471

Persistent link: https://www.econbiz.de/10013349110

Artificially intelligent marketplaces

Lin, Ruiqi; Kireyev, Pavel - 2022

Persistent link: https://www.econbiz.de/10013371248

Polynomial adjusted student-t densities for modeling asset returns

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: The European journal of finance 28 (2022) 9, pp. 907-929

Persistent link: https://www.econbiz.de/10013373353

Are VaR models effective in capturing downside risk in alternative investment funds? : insights from a cross-country study

Panda, Amrit; Deb, Soumya Guha - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574970

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