The following pages link to Backtesting Aggregate Risk (Q4687587):
Displaying 6 items.
- A simple and focused backtest of value at risk (Q1667928) (← links)
- Estimating and backtesting risk under heavy tails (Q2138613) (← links)
- Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930) (← links)
- (Q4518939) (← links)
- Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)