top of page
Rechercher
  • Photo du rédacteurHélène Dufour

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 general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies."

LIRE


1 vue0 commentaire

Posts récents

Voir tout

The findings underscore the importance of inside debt compensation as a #riskmanagement #governance mechanism that alleviates inefficiencies related to #cybersecurity investments. LIRE

As more #laws and #legal norms are introduced to enforce #esg standards, directors are required to ensure that their corporation complies with these standards. This encroaches on the #fiduciary relati

bottom of page