molest 发表于 2025-3-23 12:44:35

Richard M. Ryan,Jessica A. SolkyIn this chapter we present some concrete backtesting results for both Value at Risk and Expected Shortfall..The major scope of this work is to apply the new ES backtesting methodologies (described in Chapter 4) to real financial time series.

Chemotherapy 发表于 2025-3-23 15:24:27

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acheon 发表于 2025-3-23 20:07:38

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Recess 发表于 2025-3-23 22:27:16

Elicitability,As we have seen before, a risk measure has to be estimated from historical data. In order to reach the best possible point estimate, we have to make several choices concerning models, methods and parameters.

TRAWL 发表于 2025-3-24 04:18:27

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细菌等 发表于 2025-3-24 09:14:51

Empirical Analysis,In this chapter we present some concrete backtesting results for both Value at Risk and Expected Shortfall..The major scope of this work is to apply the new ES backtesting methodologies (described in Chapter 4) to real financial time series.

organism 发表于 2025-3-24 12:54:19

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CREST 发表于 2025-3-24 18:40:20

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诱使 发表于 2025-3-24 19:17:30

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舔食 发表于 2025-3-25 00:31:39

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查看完整版本: Titlebook: Backtesting Value at Risk and Expected Shortfall; Simona Roccioletti Book 2016 Springer Fachmedien Wiesbaden 2016 Risk Measures.Value at R