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1. Non-parametricbacktesting of expected shortfall
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the Basel Committee on Banking Supervision first suggested a transition to Expected Shortfall as the primary risk measure for financial institutions, the question on how to backtest it has been widely discussed. Still, there is a lack of studies that compare the different proposed backtesting methods. LÄS MER
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