Backtesting Expected Shortfall: Accounting for Tail Risk
Author:
Affiliation:
1. Southwestern University of Finance and Economics, Research Institute of Economics and Management, Chengdu 610074, China
2. Department of Economics, Indiana University, Bloomington, Indiana 47405
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2015.2342
Reference41 articles.
1. On the coherence of expected shortfall
2. Coherent Measures of Risk
3. Testing Parametric Conditional Distributions of Dynamic Models
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