top of page
Rechercher
25 mars 2022
Risk 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...
0 commentaire
18 févr. 2022
Multinomial 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...
0 commentaire
14 févr. 2022
Bayesian 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...
0 commentaire
bottom of page