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Backtesting expected shortfall : evidence from European securitized real estate

Almudhaf, Fahad - In: Applied economics letters 25 (2018) 3, pp. 176-182

Persistent link: https://www.econbiz.de/10011853830

Backtesting expected shortfall : accounting for tail risk

Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958

Persistent link: https://www.econbiz.de/10011672768

HRP performance comparison in portfolio optimization under various codependence and distance metrics

Barziy, Illya; Chlebus, Marcin - 2020

Persistent link: https://www.econbiz.de/10012322189

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

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

Backtesting Value-at-Risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019

We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

Persistent link: https://www.econbiz.de/10012057163

Multivariate spectral backtests of forecast distributions under unknown dependencies

Balter, Janine; McNeil, Alexander J. - In: Risks : open access journal 12 (2024) 1, pp. 1-15

Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level. We develop multi-desk backtests, which...

Persistent link: https://www.econbiz.de/10014480976

Backtesting value-at-risk and expected shortfall in the presence of estimation error

Barendse, Sander; Kole, Erik; Dijk, Dick van - In: Journal of financial econometrics 21 (2023) 2, pp. 528-568

Persistent link: https://www.econbiz.de/10014314760

Behaviour of Johannesburg Stock Exchange all share index returns: An asymmetric GARCH and news impact effects approach

Korkpoe, Carl H.; Junior, Peterson Owusu - In: SPOUDAI - Journal of Economics and Business 68 (2018) 1, pp. 26-42

market was shown to react to news unequally. Volatility spikes sharply when unexpected adverse news reaches the market while …

Persistent link: https://www.econbiz.de/10011994283

On the volatility of daily stock returns of Total Nigeria Plc: Evidence from GARCH models, value-at-risk and backtesting

Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial Innovation 6 (2020) 1, pp. 1-25

investigation of the volatility, VaR, and backtesting of the daily stock price of Total Nigeria Plc is important as most previous …This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that …

Persistent link: https://www.econbiz.de/10012602854