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The Berkowitz tail test allows to test the density tail, and hence indirectly evaluate the CVaR risk measure: http://www.ims.nus.edu.sg/Programs/econometrics/files/kw_ref_2.pdf


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You can also check out the expected shortfall backtesting methodology proposed here: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2514403



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