Validation of index and benchmark assignment : adequacy of capturing tail risk
Lukasz Prorokowski
| Year of publication: |
2019
|
|---|---|
| Authors: | Prorokowski, Lukasz |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 4, p. 71-105
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| Subject: | Targeted Review of Internal Models (TRIM) | validation | risk proxy | Kolmogorov-Smirnov test | tail risk | Finanzdienstleistung | Financial services | Risikomanagement | Risk management | Risikomaß | Risk measure | Risiko | Risk | Benchmarking | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2019.214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012373148