Powerful backtests for historical simulation expected shortfall models
Year of publication: |
2024
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Authors: | Du, Zaichao ; Pei, Pei ; Wang, Xuhui ; Yang, Tao |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 864-874
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Subject: | Backtest | Expected shortfall | Filtered historical simulation | Historical simulation | Risk management | Simulation | Risikomaß | Risk measure | Risikomanagement | Portfolio-Management | Portfolio selection | Theorie | Theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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