Browsing Applied and Social Sciences by Subject "Backtesting"
Now showing items 1-2 of 2
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On range value at risk backtesting : a study from expected shortfall procedures
(2023) [Dissertation]Risk forecasting has played a major role in the risk management process, drawing the attention of financial organizations, regulators, and the academic community over the past decades to develop better tools to measure ... -
The edge of expectil : modelling expectil with evt and compare it using comparative backtest
(2018) [Dissertation]Expectiles são uma família de parâmetros de medidas de risco coerentes que foram recentemente sugeridas como uma alternativa aos quantiles (VaR) e ao expected shortfall (ES). Neste trabalho, os expectiles são usados como ...