Evaluation of backtesting on risk models based on data envelopment analysis
Year of publication: |
2022
|
---|---|
Authors: | Kontaxis, Grigorios ; Tsolas, Ioannis E. |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 17.2022, 1, p. 51-79
|
Subject: | value-at-risk (VaR) | backtesting | data envelopment analysis (DEA) | efficient model selection | risk estimation | Theorie | Theory | Data-Envelopment-Analyse | Data envelopment analysis | Risikomaß | Risk measure | Statistischer Test | Statistical test |
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