Search Results - subject:"Backtesting"

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014487244

Shift in factor investing : an empirical study in India

Bijoy, Kumar; Kedia, Aman - In: Mudra : journal of finance and accounting 10 (2023) 2, pp. 75-98

Persistent link: https://www.econbiz.de/10014488993

Forecasting and backtesting systemic risk in the cryptocurrency market

Fang, Sheng; Cao, Guangxi; Egan, Paul - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472755

Forecasting expected shortfall : should we use a multivariate model for stock market factors?

Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331

Persistent link: https://www.econbiz.de/10014462782

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals

Stindl, Tom - In: Journal of empirical finance 70 (2023), pp. 182-198

Persistent link: https://www.econbiz.de/10014423627

Evaluating risk and stress-testing challenges for central counterparties

Viollet, Franck - In: Journal of securities operations & custody 15 (2023) 2, pp. 123-133

Persistent link: https://www.econbiz.de/10014267115

A note on stochastic volatility model estimation

Abbara, Omar; Zevallos, Mauricio - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 22-32

Persistent link: https://www.econbiz.de/10012221531

Testes para avaliação das previsões do value-at-risk e expected shortfall

Lincovil, Jaime Enrique; Chiann, Chang - In: Revista Brasileira de Finanças : RBFin 17 (2019) 4, pp. 56-76

Persistent link: https://www.econbiz.de/10012221533

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

Persistent link: https://www.econbiz.de/10012057163