Pages that link to "Item:Q5234339"
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The following pages link to Backtesting extreme value theory models of expected shortfall (Q5234339):
Displaying 7 items.
- Estimating and backtesting risk under heavy tails (Q2138613) (← links)
- GFC-robust risk management under the Basel accord using extreme value methodologies (Q2227447) (← links)
- Dynamic expected shortfall: a spectral decomposition of tail risk across time horizons (Q2338545) (← links)
- Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930) (← links)
- (Q4518939) (← links)
- Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985) (← links)
- Powerful Backtests for Historical Simulation Expected Shortfall Models (Q6626253) (← links)