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~subject:"Backtesting"
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Backtesting
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expected shortfall
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backtesting
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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2
Backtesting para o expected shortfall do trading book : uma avaliação das metodologias
Castro, Leonardo Nascimento
;
Candido, Osvaldo
- In:
Revista Brasileira de Finanças : RBFin
16
(
2018
)
1
,
pp. 123-155
Persistent link: https://www.econbiz.de/10012122619
Saved in:
3
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
4
What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne
;
Kratz, Marie
;
Tasche, Dirk
-
HAL
-
2013
desirable properties of risk measures like coherence, comonotonic additivity, robustness and
elicitability
. We check VaR, ES and …
Persistent link: https://www.econbiz.de/10010821003
Saved in:
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