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Backtesting aggregate risk
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Showing
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1
Risk
model
backtesting
Terzić, Ivica
;
Milojević, Marko
- In:
Ekonomika : međunarodni časopis za ekonomsku teoriju …
62
(
2016
)
1
,
pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
Saved in:
2
Evaluation of
backtesting
techniques on
risk
models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
3
Frontiers in VaR forecasting and
backtesting
Nieto, Maria Rosa
;
Ruiz, Esther
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 474-501
Persistent link: https://www.econbiz.de/10011597163
Saved in:
4
Backtesting
marginal expected shortfall and related systemic
risk
measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
Saved in:
5
The geometric-VaR
backtesting
method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
6
Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.
;
Wei, Wei
;
Brazauskas, Vytaras
- In:
Annals of actuarial science : publ. by the Institute of …
11
(
2017
)
2
,
pp. 213-236
Persistent link: https://www.econbiz.de/10011820567
Saved in:
7
A simple and focused backtest of value at
risk
Krämer, Walter
;
Wied, Dominik
- In:
Economics letters
137
(
2015
),
pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
Saved in:
8
Risk
quantification and validation for Bitcoin
Jiménez, Inés
;
Mora-Valencia, Andrés
;
Perote, Javier
- In:
Operations research letters
48
(
2020
)
4
,
pp. 534-541
Persistent link: https://www.econbiz.de/10012294824
Saved in:
9
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
Saved in:
10
Backtesting
an equity
risk
model under Solvency II
Santomil, Pablo Durán
;
González, Luís Otero
;
Cunill, …
- In:
Journal of business research : JBR
89
(
2018
),
pp. 216-222
Persistent link: https://www.econbiz.de/10011881772
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