Multinomial Backtesting of Distortion Risk Measures
Fuente:
arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2022
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| _version_ | 1866910549290254336 |
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| author | Bettels, Sören Kim, Sojung Weber, Stefan |
| author_facet | Bettels, Sören Kim, Sojung Weber, Stefan |
| contents | We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2201_06319 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Multinomial Backtesting of Distortion Risk Measures Bettels, Sören Kim, Sojung Weber, Stefan Risk Management We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical case studies. |
| title | Multinomial Backtesting of Distortion Risk Measures |
| topic | Risk Management |
| url | https://arxiv.org/abs/2201.06319 |