Open AccessMultinomial VAR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall
Author(s) -
Marie Kratz,
Yen H. Lok,
Alexander J. McNeil
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2898688
Subject(s) - multinomial distribution , expected shortfall , quantile , value at risk , econometrics , risk measure , measure (data warehouse) , statistics , economics , computer science , mathematics , risk management , financial economics , data mining , finance , portfolio
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