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  • Photo du rédacteurHélène Dufour

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 shortfall for setting the Basel Accords capital requirements due to statistical and economic considerations such as capturing tail risk, robustness, elicitability, backtesting, and surplus invariance."


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