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)

Recommendations

• Backtesting Parametric Value-at-Risk With Estimation Risk
• A simple and focused backtest of value at risk
• A review of backtesting for value at risk
• Backtesting portfolio value‐at‐risk with estimated portfolio weights
• Backtesting value-at-risk: a generalized Markov test

Cited in

(7)

• A simple and focused backtest of value at risk
• Estimating and backtesting risk under heavy tails
• Backtesting Parametric Value-at-Risk With Estimation Risk
• scientific article; zbMATH DE number 1538077 (Why is no real title available?)
• Backtesting value-at-risk: a generalized Markov test
• Backtesting portfolio value‐at‐risk with estimated portfolio weights
• Multinomial backtesting of distortion risk measures

This page was built for publication: Backtesting aggregate risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687587)