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Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2022

Persistent link: https://www.econbiz.de/10012886096

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach

Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011410313

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …

Persistent link: https://www.econbiz.de/10011867427

Backtesting VaR and ES under the magnifying glass

Argyropoulos, Christos; Panopulu, Aikaterinē - In: International review of financial analysis 64 (2019), pp. 22-37

Persistent link: https://www.econbiz.de/10012208280

Comparison of market risk models with respect to suggested changes of Basel accord

Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274

Persistent link: https://www.econbiz.de/10010474360

A simple traffic light approach to backtesting expected shortfall

Costanzino, Nick; Curran, Mike - In: Risks : open access journal 6 (2018) 1, pp. 1-7

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and … analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking …

Persistent link: https://www.econbiz.de/10011811532

Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764

Persistent link: https://www.econbiz.de/10012207145

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - In: Journal of financial econometrics 20 (2022) 3, pp. 437-471

Persistent link: https://www.econbiz.de/10013349110

Polynomial adjusted student-t densities for modeling asset returns

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: The European journal of finance 28 (2022) 9, pp. 907-929

Persistent link: https://www.econbiz.de/10013373353

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