Backtesting extreme value theory models of expected shortfall-Reference-Cited by-同舟云学术

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Backtesting extreme value theory models of expected shortfall

Published:2018-11-13 Issue:5 Volume:19 Page:799-825
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Novales Alfonso¹^ORCID,Garcia-Jorcano Laura²^ORCID

Affiliation:

1. Instituto Complutense de Análisis Económico (ICAE), and Department of Quantitative Economics, Facultad de Ciencias Económicas y Empresariales, Universidad Complutense, Campus de Somosaguas, 28223 Madrid, Spain

2. Department of Economic Analysis and Finance (Area of Financial Economics), Facultad de Ciencias Jurídicas y Sociales, Universidad de Castilla-La Mancha, 45071 Toledo, Spain

Funder

Ministerio de Economia

Generalitat Valenciana

Banco de España

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1535182

Reference77 articles.

1. The Generalized Hyperbolic Skew Student's t-Distribution

2. On the coherence of expected shortfall

3. Developing a stress testing framework based on market risk models

4. Coherent Measures of Risk

5. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t -distribution

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