Backtesting expected shortfall and beyond (Q5014244)
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scientific article; zbMATH DE number 7436821
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Backtesting expected shortfall and beyond |
scientific article; zbMATH DE number 7436821 |
Statements
Backtesting expected shortfall and beyond (English)
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1 December 2021
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backtesting
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elicitability
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expected shortfall
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GARCH models
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risk management
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0.8337873816490173
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0.8113695979118347
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0.8019766211509705
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0.7954068183898926
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0.7923475503921509
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