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Backtesting para o expected shortfall do trading book : uma avaliação das metodologias

Castro, Leonardo Nascimento; Candido, Osvaldo - In: Revista Brasileira de Finanças : RBFin 16 (2018) 1, pp. 123-155

Persistent link: https://www.econbiz.de/10012122619

WTI crude oil option implied VaR and CVaR : an empirical application

Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2016

Using option market data we derive naturally forward-looking, nonparametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike...

Persistent link: https://www.econbiz.de/10011619056

Back to backtesting : integrated backtesting for value-at-risk and expected shortfall in practice

Wehn, Carsten - In: The journal of risk model validation 12 (2018) 4, pp. 17-39

Persistent link: https://www.econbiz.de/10011992015

Elicitable distortion risk measures: A concise proof

Wang, Ruodu; Ziegel, Johanna F. - In: Statistics & Probability Letters 100 (2015) C, pp. 172-175

Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an … discuss the conflict between comonotonic additivity and elicitability. …

Persistent link: https://www.econbiz.de/10011263178

Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution

Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133

Persistent link: https://www.econbiz.de/10012176554

Backtesting Value at Risk and Expected Shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups …

Persistent link: https://www.econbiz.de/10014018353

Elicitability of instance and object ranking

Werner, Tino - In: Decision analysis : a journal of the Institute for … 19 (2022) 2, pp. 123-140

Persistent link: https://www.econbiz.de/10013352919

Deep quantile and deep composite triplet regression

Fissler, Tobias; Merz, Michael; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 109 (2023), pp. 94-112

Persistent link: https://www.econbiz.de/10014282471

Sensitivity measures based on scoring functions

Fissler, Tobias; Pesenti, Silvana M. - In: European journal of operational research : EJOR 307 (2023) 3, pp. 1408-1423

Persistent link: https://www.econbiz.de/10014282998

Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment

Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014469910