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Implicit Multivariate Backtesting Expected Shortfall

https://doi.org/10.2139/ssrn.4762076
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Backtesting for risk-based regulatory capital
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Backtesting trading risk of commercial banks using expected shortfall
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A new set of improved Value-at-Risk backtests
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Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
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Backtesting value-at-risk based on tail losses
inferredcites →https://doi.org/10.1016/s0378-4266(02)00283-2openalex-extracted
On the coherence of expected shortfall
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
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Heteroscedasticity and Autocorrelation Robust Structural Change Detection
inferredcites →https://doi.org/10.1093/jjfinec/nbaa013openalex-extracted
Regression-Based Expected Shortfall Backtesting
inferredcites →https://doi.org/10.1093/jjfinec/nbh004openalex-extracted
Backtesting Value-at-Risk: A Duration-Based Approach
inferredcites →https://doi.org/10.1093/rof/rfw026openalex-extracted
Where the Risks Lie: A Survey on Systemic Risk
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Large-sample theory for standardized time series
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Testing Density Forecasts, With Applications to Risk Management
inferredcites →https://doi.org/10.1214/009053604000000265openalex-extracted
Higher criticism for detecting sparse heterogeneous mixtures
inferredcites →https://doi.org/10.1214/009053607000000767openalex-extracted
Properties of higher criticism under strong dependence
inferredcites →https://doi.org/10.1214/17-aoas1041openalex-extracted
Elicitability and backtesting: Perspectives for banking regulation
inferredcites →https://doi.org/10.1214/aop/1019160337openalex-extracted
The functional central limit theorem under the strong mixing condition
inferredcites →https://doi.org/10.1287/mnsc.1080.0964openalex-extracted
Evaluating Value-at-Risk Models with Desk-Level Data
inferredcites →https://doi.org/10.1287/mnsc.2015.2342openalex-extracted
Backtesting Expected Shortfall: Accounting for Tail Risk
inferredcites →https://doi.org/10.17877/de290r-17329openalex-extracted
New backtests for unconditional coverage of the expected shortfall
inferredcites →https://doi.org/10.21314/jor.2015.318openalex-extracted
What is the best risk measure in practice? A comparison of standard measures
inferredcites →https://doi.org/10.21314/jor.2019.406openalex-extracted
New backtests for unconditional coverage of expected shortfall
inferredcites →https://doi.org/10.21314/jrmv.2013.108openalex-extracted
Individual and flexible expected shortfall backtesting
inferredcites →https://doi.org/10.21314/jrmv.2014.121openalex-extracted
Backtesting value-at-risk tail losses on a dynamic portfolio
inferredcites →https://doi.org/10.21314/jrmv.2015.131openalex-extracted
Backtesting general spectral risk measures with application to expected shortfall
inferredcites →https://doi.org/10.2139/ssrn.1591049openalex-extracted
Backtesting Value-at-Risk Models: A Multivariate Approach
inferredcites →https://doi.org/10.2139/ssrn.2370378openalex-extracted
What is the Best Risk Measure in Practice? A Comparison of Standard Measures
inferredcites →https://doi.org/10.2139/ssrn.2548544openalex-extracted
Backtesting Expected Shortfall: Accounting for Tail Risk
inferredcites →https://doi.org/10.2139/ssrn.2898688openalex-extracted
Multinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall
inferredcites →https://doi.org/10.2139/ssrn.418762openalex-extracted
Backtesting Value-at-Risk: A Duration-Based Approach
inferredcites →https://doi.org/10.2139/ssrn.5862862openalex-extracted
Backtesting Expected Shortfall via Multi-Quantile Regression
inferredcites →https://doi.org/10.2307/1402124openalex-extracted
Convergence of Probability Measures
inferredcites →https://doi.org/10.2307/2527341openalex-extracted
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.3390/risks6010002openalex-extracted
A Simple Traffic Light Approach to Backtesting Expected Shortfall
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-extracted
Techniques for Verifying the Accuracy of Risk Measurement Models
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