Showing 81 - 90 of 104
Persistent link: https://www.econbiz.de/10007259883
Persistent link: https://www.econbiz.de/10007210395
Persistent link: https://www.econbiz.de/10008081482
Persistent link: https://www.econbiz.de/10007986382
Persistent link: https://www.econbiz.de/10009865702
Persistent link: https://www.econbiz.de/10009104925
Persistent link: https://www.econbiz.de/10009135507
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...
Persistent link: https://www.econbiz.de/10013300748
Persistent link: https://www.econbiz.de/10013365768
Persistent link: https://www.econbiz.de/10014485524