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DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Löser, Robert | - |
dc.contributor.author | Wied, Dominik | - |
dc.contributor.author | Ziggel, Daniel | - |
dc.date.accessioned | 2016-10-14T10:24:48Z | - |
dc.date.available | 2016-10-14T10:24:48Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35286 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17329 | - |
dc.description.abstract | We present a new backtest for the unconditional coverage property of the ES. The test statistic is available for finite out-of-sample size which leads to better size and power properties compared to existing tests. Moreover, it can be easily extended to a multivariate test. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;52, 2016 | en |
dc.subject | model risk | en |
dc.subject | expected shortfall | en |
dc.subject | multivariate backtesting | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | New backtests for unconditional coverage of the expected shortfall | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dc.subject.rswk | Risikomaß | de |
dc.subject.rswk | Statistischer Test | de |
dcterms.accessRights | open access | - |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_5216_NEUSFB823_Löser_Wied_Ziggel_.pdf | DNB | 343.55 kB | Adobe PDF | Öffnen/Anzeigen |
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