General Properties of Backtestable Statistics-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

General Properties of Backtestable Statistics

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Acerbi Carlo,Szekely Balazs

Publisher

Elsevier BV

Reference14 articles.

1. On the coherence of expected shortfall;C Acerbi;Journal of Banking & Finance,2002

2. Amendment to the capital accord to incorporate market risks;Basel Committee on Banking Supervision,1996

3. Minimum capital requirements for market risk;Basel Committee on Banking Supervision,2016

4. Coherent Measures of Risk

Cited by 31 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The limitations of comonotonic additive risk measures: a literature review;Decisions in Economics and Finance;2024-08-03

2. Estimation and backtesting of risk measures with emphasis on distortion risk measures;Japanese Journal of Statistics and Data Science;2024-07-10

3. An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile;Journal of Empirical Finance;2024-06

4. An evaluation of the adequacy of Lévy and extreme value tail risk estimates;Financial Innovation;2024-05-03

5. Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study;Computational Economics;2024-02-14

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP