Backtesting aggregate risk

DOI10.1002/FOR.2376MaRDI QIDQ4687587zbMATH OpenOpenAlexFDO

Authors Cristina Danciulescu

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2376

zbMATH Keywords

integrated risk managementmultivariate portmanteau test statisticmultivariate testingVaR

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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• Estimating and backtesting risk under heavy tails
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• Backtesting beyond VaR
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• Backtesting portfolio value‐at‐risk with estimated portfolio weights
• Multinomial backtesting of distortion risk measures

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