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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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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