Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall
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More about this item
Keywords
multinomial distribution; Nass test; Pearson test; risk management; risk measure; statistical test; test of distribution; backtesting; banking regulation; coherence; elicitability; expected short fall; heavy tail; likelihood radio test; value-at-risk;All these keywords.
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
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