25 mars 2022Risk Measures: Robustness, Elicitability, and Backtesting"...we argue that... the median shortfall—that is, the median of the tail loss distribution—is a better option than the expected...
18 févr. 2022Multinomial Backtesting of Distortion Risk Measures"We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for...
14 févr. 2022Bayesian Backtesting for Counterparty Risk Models"... we find that the Bayesian approach outperforms the classical one in identifying whether a model is correctly specified which is the...