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Backtesting Expected Shortfall...
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Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
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Estimating and backtesting risk under heavy tails
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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3
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
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