[PDF] backtesting trading risk of commercial banks using expected shortfall

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[PDF] Back-testing of Expected Shortfall: Main challenges and

changed from a Value-at-Risk (VaR) computation to an Expected Shortfall (ES) Backtesting trading risk of commercial banks using expected shortfall,
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[PDF] Model Risk of Expected Shortfall - Henley Business School

Keywords: model risk, Expected Shortfall, backtesting Backtesting trading risk of commercial banks using expected shortfall
ICM-2017-10-Lazar-and-Zhang-mtime20171108095838_2020-10-14-084035.pdf

[PDF] Backtesting Expected Shortfall: the design and - DiVA

Keywords: Expected Shortfall, Backtests, Value-at-Risk, Elicitability Backtesting trading risk of commercial banks using expected shortfall
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[PDF] Backtesting Expected Shortfall via Multi-Quantile Regression

1 oct 2020 · Backtesting trading risk of commercial banks using expected shortfall Journal of Banking Finance, 32(7):1404–1415
Backtesting%20ES%20via%20Multi-Quantile%20Regression.pdf

[PDF] Backtesting Bootstrap Value-at-Risk and Expected Shortfall

8 sept 2014 · to the estimation of value-at-risk and expected shortfall, using data from Backtesting trading risk of commercial banks using expected
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[PDF] Backtesting Extreme Value Theory models of expected shortfall

period value at risk and expected shortfall that compares favorably with W K , Backtesting trading risk of commercial banks using expected shortfall
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