Backtesting VaR and ES under the magnifying glass
Christos Argyropoulos, Ekaterini Panopoulou
| 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
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| Subject: | Backtesting | Expected Shortfall | Forecast evaluation | Model accuracy | Value-at-Risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.04.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012208280