Estimation and backtesting of risk measures with emphasis on distortion risk measures

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Making and Evaluating Point Forecasts
Asymmetric Least Squares Estimation and Testing
Assessing value at risk with CARE, the conditional autoregressive expectile models
Stochastic finance. An introduction in discrete time.
Higher order elicitability and Osband's principle
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measures: extension properties and qualitative robustness
Bias correction for estimated distortion risk measure using the bootstrap
Resampling methods for dependent data
Elicitability and backtesting: perspectives for banking regulation
A note on the bias of \(L\)-estimators and a bias reduction procedure
Generalized quantiles as risk measures
Order-sensitivity and equivariance of scoring functions
Verification of internal risk measure estimates
Coherent Measures of Risk
COHERENCE AND ELICITABILITY
Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
Handbook of Financial Time Series
Robustness and sensitivity analysis of risk measurement procedures
ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES
First-order autoregressive gamma sequences and point processes
On elicitable risk measures
A review of backtesting for value at risk
External Risk Measures and Basel Accords
Tests of Conditional Predictive Ability
Remarks on a Multivariate Transformation
Backtestability and the ridge backtest
Osband's Principle for Identification Functions
Forecasting Value at Risk and Expected Shortfall Using a Semiparametric Approach Based on the Asymmetric Laplace Distribution

This page was built for publication: Estimation and backtesting of risk measures with emphasis on distortion risk measures