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~isPartOf:"Energy economics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~person:"McNeil, Alexander J."
~subject:"Risk measure"
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McNeil, Alexander J.
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Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
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2
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
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3
VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
Frey, Rüdiger
;
McNeil, Alexander J.
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1317-1334
Persistent link: https://www.econbiz.de/10001688506
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