Showing 1 - 10 of 21,334
Persistent link: https://www.econbiz.de/10014232428
Persistent link: https://www.econbiz.de/10012303806
from statistical decision theory to overcome the problem of "elicitability" for ES by jointly modelling ES and VaR, and …
Persistent link: https://www.econbiz.de/10011688247
Persistent link: https://www.econbiz.de/10012656244
Persistent link: https://www.econbiz.de/10011624755
Persistent link: https://www.econbiz.de/10012021948
Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...
Persistent link: https://www.econbiz.de/10014480976
Persistent link: https://www.econbiz.de/10009715681
Persistent link: https://www.econbiz.de/10011780759
Persistent link: https://www.econbiz.de/10012508951