Monitoring value-at-risk and expected shortfall forecasts
Year of publication: |
2023
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Authors: | Hoga, Yannick ; Demetrescu, Matei |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 69.2023, 5, p. 2954-2971
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Subject: | backtests | exact distributions | forecasting | risk measures | sequential monitoring | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Messung | Measurement |
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