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Backtesting expected shortfall and beyond - MaRDI portal

Backtesting expected shortfall and beyond (Q5014244)

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scientific article; zbMATH DE number 7436821
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English
Backtesting expected shortfall and beyond
scientific article; zbMATH DE number 7436821

    Statements

    title
    Backtesting expected shortfall and beyond (English)
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    author
    Kaihua Deng
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    Jie Qiu
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    publication date
    1 December 2021
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    zbMATH Keywords
    backtesting
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    elicitability
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    expected shortfall
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    GARCH models
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    risk management
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    Identifiers

    zbMATH DE Number
    7436821
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    OpenAlex ID
    W3126340778
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