"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."
Information about #fdic #insurance and communication about #bank #stability by the #federalreserve can reassure depositors and mitigate #bankruns, while communication from political leaders only influ
Advanced #machinelearning models were found to be more effective than #linearregression in predicting firm performance under #naturaldisaster #risks. The study suggests that textual data in #financial
#regulators recently issued #cybersecurity #disclosure guidelines to enhance #transparency and #accountability among firms. A study analyzed cybersecurity disclosure practices among a sample of Toront