Estimation and backtesting of risk measures with emphasis on distortion risk measures (Q6670102)
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scientific article; zbMATH DE number 7973767
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| English | Estimation and backtesting of risk measures with emphasis on distortion risk measures |
scientific article; zbMATH DE number 7973767 |
Statements
Estimation and backtesting of risk measures with emphasis on distortion risk measures (English)
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22 January 2025
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risk measure
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value-at-risk
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expected shortfall
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distortion risk measures
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statistical estimation
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backtesting
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