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The Laplace Innovation for RiskMetricsTM: Evidence from Extensive Value-at-Risk and Expected Shortfall Backtests for Banks

https://doi.org/10.2139/ssrn.6263840
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Measuring Market Risk
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Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
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Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications
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Comparison of Value-at-Risk models using the MCS approach
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Accrual mispricing, value-at-risk, and expected stock returns
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Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution
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EGARCH models with fat tails, skewness and leverage
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Volatility measures and Value-at-Risk
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Forecasting risk with Markov-switching GARCH models:A large-scale performance study
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Are RiskMetrics forecasts good enough? Evidence from 31 stock markets
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A new set of improved Value-at-Risk backtests
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On the coherence of expected shortfall
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Dynamic Models for Volatility and Heavy Tails
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Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation
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Oil tail-risk forecasts: from financial crisis to COVID-19
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On elicitable risk measures
inferredcites →https://doi.org/10.1093/jjfinec/nbaa013openalex-snapshot
Regression-Based Expected Shortfall Backtesting
inferredcites →https://doi.org/10.1093/jjfinec/nbaa029openalex-snapshot
Regulatory Capital and Incentives for Risk Model Choice under Basel 3
inferredcites →https://doi.org/10.1093/jjfinec/nbab008openalex-snapshot
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
inferredcites →https://doi.org/10.1093/jjfinec/nbq025openalex-snapshot
Backtesting Value-at-Risk: A GMM Duration-Based Test
inferredcites →https://doi.org/10.1177/0312896214557837openalex-snapshot
An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III
inferredcites →https://doi.org/10.1198/jasa.2011.r10138openalex-snapshot
Making and Evaluating Point Forecasts
inferredcites →https://doi.org/10.1214/16-aos1439openalex-snapshot
Higher order elicitability and Osband’s principle
inferredcites →https://doi.org/10.1257/0002828041464597openalex-snapshot
Risk and Volatility: Econometric Models and Financial Practice
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What is the best risk measure in practice? A comparison of standard measures
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Techniques for Verifying the Accuracy of Risk Measurement Models
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An Overview of Value at Risk
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