Backtesting expected shortfall : evidence from European securitized real estate
Year of publication: |
February 2018
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Authors: | Almudhaf, Fahad |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 25.2018, 3, p. 176-182
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Subject: | expected shortfall | value-at-risk | backtesting | risk management | European markets | Risikomaß | Risk measure | Risikomanagement | Risk management | EU-Staaten | EU countries | Europa | Europe | Verbriefung | Securitization | Portfolio-Management | Portfolio selection | Immobilienfonds | Real estate fund | Statistischer Test | Statistical test | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
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