Testes para avaliação das previsões do value-at-risk e expected shortfall
Alternative title: | Assessing value-at-risk and expected shortfall predictions |
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Year of publication: |
2019
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Authors: | Lincovil, Jaime Enrique ; Chiann, Chang |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 17.2019, 4, p. 56-76
|
Subject: | Backtesting | Conditional coverage | Empirical power | Expected shortfall | Value-at-risk |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | Portuguese |
Notes: | Zusammenfassung in englischer Sprache |
Other identifiers: | 10.12660/rbfin.v17n4.2019.78758 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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