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Risk measures 1 calibration of estimates 1 prequential statistics 1 probability forecasting 1 quantile and mean forecasting 1
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Davis, Mark H. A. 1
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Statistics & Risk Modeling 1
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Verification of internal risk measure estimates
Davis, Mark H. A. - In: Statistics & Risk Modeling 33 (2016) 3-4, pp. 67-93
Abstract This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are ‘correct’. We draw the distinction between ‘external’ and ‘internal’ risk measures and concentrate...
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