Multinomial Backtesting of Distortion Risk Measures

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies

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Year of publication:	[2022]
Authors:	Weber, Stefan ; Kim, Sojung ; Bettels, Sören
Publisher:	[S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Messung \| Measurement \| Theorie \| Theory \| Statistischer Test \| Statistical test \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (49 p)
Type of publication:	Book / Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.4009731 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013300748