Backtesting VaR and ES under the magnifying glass
Year of publication: |
2019
|
---|---|
Authors: | Argyropoulos, Christos ; Panopulu, Aikaterinē |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 64.2019, p. 22-37
|
Subject: | Backtesting | Expected Shortfall | Forecast evaluation | Model accuracy | Value-at-Risk | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Statistischer Test | Statistical test | Theorie | Theory |
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