Estimating and backtesting risk under heavy tails-Reference-Cited by-同舟云学术

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Estimating and backtesting risk under heavy tails

Published:2022-05 Issue: Volume:104 Page:1-14
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Pitera Marcin^ORCID,Schmidt Thorsten^ORCID

Funder

Deutsche Forschungsgemeinschaft

Narodowe Centrum Nauki

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference33 articles.

1. Back-testing expected shortfall;Acerbi;Risk Magazine,2014

2. Market Risk Analysis: Practical Financial Econometrics, vol. 2;Alexander,2009

3. Supervisory framework for the use of ‘backtesting’ in conjunction with the internal models approach to market risk capital requirements;BCBS,1996

4. Fundamental review of the trading book: A revised market risk framework - Consultative document;BCBS,2009

Cited by 3 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. Applications of artificial intelligence and machine learning in the financial services industry: A bibliometric review;Heliyon;2024-01

2. Parametric expectile regression and its application for premium calculation;Insurance: Mathematics and Economics;2023-07

3. From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures;International Review of Financial Analysis;2023-05

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