scientific article; zbMATH DE number 1538077

zbMATH Open0971.91032MaRDI QIDQ4518939FDOQ4518939

Authors: Gerhard Stahl, Wolfgang K. Härdle 

Publication date: 18 January 2001

Title of this publication is not available (Why is that?)

Recommendations

• Backtesting expected shortfall and beyond
• Backtesting VaR and expectiles with realized scores
• Backtesting Parametric Value-at-Risk With Estimation Risk
• A review of backtesting for value at risk
• Extending the limits of backtesting via the `vanishing \(p\)'-approach
• Estimating and backtesting risk under heavy tails
• Backtesting aggregate risk
• Asymptotic properties of duration-based VaR backtests
• Backtesting extreme value theory models of expected shortfall
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall

zbMATH Keywords

value at riskstatistical forecast

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (5)

• Statistical inference for time-inhomogeneous volatility models.
• Backtesting Parametric Value-at-Risk With Estimation Risk
• On the appropriateness of inappropriate VaR models
• Value-at-risk forecasts under scrutiny—the German experience
• Asymptotic properties of duration-based VaR backtests

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