Backtesting expected shortfall and beyond

DOI10.1080/14697688.2020.1834120zbMath1479.91449OpenAlexW3126340778MaRDI QIDQ5014244

Jie Qiu, Kaihua Deng

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1834120

zbMATH Keywords

risk managementGARCH modelsexpected shortfallelicitabilitybacktesting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Uses Software

• bootstrap

Cites Work

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