Multivariate spectral backtests of forecast distributions under unknown dependencies
Year of publication: |
2024
|
---|---|
Authors: | Balter, Janine ; McNeil, Alexander J. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 1, Art.-No. 13, p. 1-15
|
Subject: | backtesting | risk management | value-at-risk | model validation | Basel regulations | Theorie | Theory | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management |
-
Hassani, Samir Saissi, (2023)
-
Modeling loss given default regressions
Li, Phillip, (2020)
-
Muteba Mwamba, John, (2015)
- More ...
-
Truncation in the Matching Markets and Market Ineffciency
Balter, Janine, (2014)
-
Quarticity estimation on ohlc data
Balter, Janine, (2015)
-
Limit your applications : dealing with congested markets in the matching procedure
Balter, Janine, (2016)
- More ...