Estimation and backtesting of risk measures with emphasis on distortion risk measures

Cites Work

Elicitability and backtesting: perspectives for banking regulation
Coherent measures of risk
Higher order elicitability and Osband's principle
Title not available (Why is that?)
Remarks on a Multivariate Transformation
Making and evaluating point forecasts
Resampling methods for dependent data
Asymmetric Least Squares Estimation and Testing
Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
Tests of Conditional Predictive Ability
Generalized quantiles as risk measures
Coherence and elicitability
Title not available (Why is that?)
Assessing value at risk with CARE, the conditional autoregressive expectile models
Title not available (Why is that?)
Robustness and sensitivity analysis of risk measurement procedures
First-order autoregressive gamma sequences and point processes
On elicitable risk measures
Comparative and qualitative robustness for law-invariant risk measures
Title not available (Why is that?)
Handbook of Financial Time Series
Verification of internal risk measure estimates
Stochastic finance. An introduction in discrete time.
External Risk Measures and Basel Accords
Title not available (Why is that?)
Elements of financial risk management.
One-parameter families of distortion risk measures
Law-invariant risk measures: extension properties and qualitative robustness
Bias correction for estimated distortion risk measure using the bootstrap
A note on the bias of \(L\)-estimators and a bias reduction procedure
Order-sensitivity and equivariance of scoring functions
A review of backtesting for value at risk
Backtestability and the ridge backtest
Osband's Principle for Identification Functions
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

This page was built for publication: Estimation and backtesting of risk measures with emphasis on distortion risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6670102)