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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …
Persistent link: https://www.econbiz.de/10010344866
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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
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Risk models-at-risk
Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
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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
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Risk aggregation with dependence uncertainty
Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108
Persistent link: https://www.econbiz.de/10010259666
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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
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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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
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Backtesting lambda value at risk
Corbetta, Jacopo; Peri, Ilaria - In: The European journal of finance 24 (2018) 13, pp. 1075-1087
Persistent link: https://www.econbiz.de/10012258870
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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