A New Approach to Backtesting and Risk Model Selection
Year of publication: |
2018
|
---|---|
Authors: | Corbetta, Jacopo |
Other Persons: | Peri, Ilaria (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Risikomanagement | Risk management | Modellierung | Scientific modelling | Statistischer Test | Statistical test | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Risiko | Risk |
Extent: | 1 Online-Ressource (43 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 17, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.2796253 [DOI] |
Classification: | C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Model risk in backtesting risk measures
Evers, Corinna, (2014)
-
Multivariate Backtests and Copulas for Risk Evaluation
David, Boris, (2022)
-
Hoogerheide, Lennart F., (2011)
- More ...
-
Backtesting lambda value at risk
Corbetta, Jacopo, (2018)
-
Alfonsi, Aurélien, (2017)
-
Robust calibration and arbitrage-free interpolation of SSVI slices
Corbetta, Jacopo, (2019)
- More ...