Backtestability and the ridge backtest

DOI10.3934/FMF.2023019MaRDI QIDQ6187723zbMATH OpenOpenAlexFDO

Authors C. Acerbi, Balázs Székely

Publication date 15 January 2024

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2023019

zbMATH Keywords

backtestabilityelicitabilityexpected shortfallridge backtestssharp backtestsvalue at risk

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70)

Cites work

• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Coherent measures of risk
• Elicitability and backtesting: perspectives for banking regulation
• Generalized quantiles as risk measures
• Higher order elicitability and Osband's principle
• Making and evaluating point forecasts

Cited in

(1)

• Estimation and backtesting of risk measures with emphasis on distortion risk measures

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